Abstract
This study examines herding behaviors of yen/dollar exchange rate forecasters, focusing on whether their behaviors are time-varying. The empirical results show that interventions amplified herding for a one-month horizon. During the recent financial crises, herding was pronounced for the one-month forecast horizon, and anti-herding, for a one-year horizon. Quantitative Easing 1 (QE1) also saw pronounced anti-herding for one-month and one-year horizons. Their loss functions are also evaluated under a possibly asymmetric loss function. The degree and direction of asymmetry are time-varying, and their variations differ among forecasters. The results are broadly consistent with (anti-) herding and its time-varying feature.
Original language | English |
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Pages (from-to) | 266-276 |
Number of pages | 11 |
Journal | International Review of Economics and Finance |
Volume | 39 |
DOIs | |
Publication status | Published - 2015 Sep 1 |
Externally published | Yes |
Keywords
- Asymmetric loss
- Central bank intervention
- Financial crisis
- Herding
- Monetary policy
ASJC Scopus subject areas
- Finance
- Economics and Econometrics