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标题：Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data
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作者：Michel Beine Agnès Bénassy-Quéré Hélène Colas
期刊名称：Document de Travail / Centre d'Etudes Prospectives et d'Informations Internationales
出版年度：2003
卷号：1
出版社：Paris
摘要：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.
关键词：Herding, exchange-rate forecasts, survey data