Do forecasters of major exchange rates herd? |
| |
| Institution: | 1. WHU - Otto Beisheim School of Management, Burgplatz 2, 56179, Vallendar, Germany;2. EBS Business School, Burgstraße 5, 65375, Oestrich-Winkel, Germany;1. Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR-10434, Athens, Greece;2. IPAG Business School, 184 Boulevard Saint-Germain, FR-75006, Paris, France;3. Centre for Planning and Economic Research, 11 Amerikis Street, GR-10672, Athens, Greece;1. University of Duisburg-Essen, Centre for European Policy Studies, Brussels, King''s College, London, & Institute for the Study of Labor, Bonn, Germany;2. THM Business School, Giessen, Germany |
| |
| Abstract: | This paper uses forecast data from 1995 through 2014 to examine, whether the market consensus of exchange rate forecasts has an effect on the forecasts of individual experts. Such an effect could take the form of herding or anti-herding. We use a very comprehensive data set to study experts' forecasts of three of the most important exchange rates. The results indicate that anti-herding vis-à-vis the consensus of forecasts occurs more often than herding. We also show how the increase in the forecasting horizon and financial crises affect the intensity of anti-herding behavior. Moreover, we report that the (anti-)herding behavior does not affect the forcasting performnce. |
| |
| Keywords: | Foreign exchange market Forecasts Herding F31 D84 C33 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
