Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
964148 | Journal of International Financial Markets, Institutions and Money | 2009 | 9 Pages |
Abstract
We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-Ã -vis the U.S. dollar for the period 1999-2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michael Frenkel, Jan-Christoph Rülke, Georg Stadtmann,