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N° 2003-08 |
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| July 2003 |
| Imitation Amongst Exchange-Rate Forecasters:
Evidence from Survey Data |
Michel Beine
Agnès Bénassy-Quéré
Hélène Colas |
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| In this paper we assess the extent of herd
behaviour in the major foreign exchange markets using monthly survey data relative
concerning individual forecasts for the DM (or euro) and the yen against the US
dollar. We conduct Granger-causality tests and SURE estimations over two distinct
periods (1990-1994 and 1996-2001) to analyze whether forecasters where subject
to imitation during these periods. The results allow to compute leadership and
"followership" indices. They show that, although most forecasters are
connected to others through leading or imitation patterns, sequential herding
is not a prominent feature of the market, at least at the monthly frequency. Moreover,
there is no clear relationship between the degree of leadership and the performance
of individuals. Hence, our results cast doubts on sequential herding of forecasters
as one potential major cause of long-lived deviations of the exchange rate from
its fundamental value. |
Abstract |
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| Herding, exchange-rate forecasts, survey
data |
Keywords |
| F31 |
JEL classification |
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