A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding

Authors

  • Christian Pierdzioch,

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    1. Helmut-Schmidt-University, Department of Economics, Germany
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  • Jan-Christoph Rülke,

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    1. WHU—Otto Beisheim School of Management, Germany
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  • Georg Stadtmann

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    1. University of Southern Denmark, Denmark
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    • We thank two anonymous reviewers for helpful suggestions. We also would like to thank the Euro Area Macroeconomic Developments Division of the European Central Bank (ECB) for providing the data. We are grateful for the financial support received from the Deutsche Bundesbank through the foundation Geld and Währung (S126/10081/11). The usual disclaimer applies.


Pierdzioch: Helmut-Schmidt-University, Department of Economics, Holstenhofweg 85, 22043 Hamburg, Germany. E-mail: c.pierdzioch@hsu-hh.de. Rülke: WHU—Otto Beisheim School of Management, Burgplatz 2, 56179 Vallendar, Germany. E-mail: janc.ruelke@whu.edu. Stadtmann: University of Southern Denmark, Campusvej 55, 5230 Odense M, Denmark, and European-University Viadrina, P.O.B. 1786, 15207 Frankfurt (Oder), Germany. E-mail: Stadtmann@europa-uni.de.

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 anti-herding 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.

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