Fly with the Eagles or Scratch with the Chickens? – Zum Herdenverhalten von Wechselkursprognostikern
Year: 2011
Author: Pierdzioch, Christian, Stadtmann, Georg, Schäfer, Dirk
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 4 : pp. 465–490
Abstract
Fly with the Eagles or Scratch with the Chickens? – Herd Behavior of Exchange Rate Forecasters
We analyze whether exchange-rate forecasters herd. To this end, we lay out two widely studied theoretical models of forecaster herding. The models illustrate why forecasters may herd. We then empirically analyze whether forecasts of the Yen/ Dollar, Swiss franc/Dollar, German mark/Dollar, and Euro/Dollar exchange rates provide evidence of herding. Our results do not yield evidence of herding. On the contrary, we find strong evidence of anti-herding. Anti-herding could indicate that forecasters adhere to a strategy of "forecast differentation„.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/kuk.44.4.465
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 4 : pp. 465–490
Published online: 2011-10
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 26
Author Details
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