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A note on forecasting emerging market exchange rates: Evidence of anti-herding

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

No 324, Discussion Papers from European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics

Abstract: Using survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or antiherding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate forecasts are consistent with herding (anti-herding) if forecasts are biased towards (away from) the consensus forecast. Our empirical findings provide strong evidence of anti-herding of emerging market exchange-rate forecasters.

JEL-codes: C33 D84 F31 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-fmk, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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