Currency forecasters are heterogeneous: Confirmation and consequences

Journal of International Money and Finance

Volumn 15, Issue 5, 1996, Pages 665-685

  Macdonald, Ronald ^a   Marsh, Ian W ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030268672     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(96)00030-7     Document Type: Article

References (33)

1. AJINKYA, BIPIN B., K. ROWLAND, K. ATIASE AND MICHAEL J. GIFT, 'Volume of trading and the dispersion of financial analysts' earnings forecasts,' Accounting Review, April 1991, 66: 389-401.
2. BATCHELOR, ROY AND PAMI DUA, 'Product differentiation in the economic forecasting industry,' International Journal of Forecasting, September 1990, 6: 311-316.
3. BENASSY, AGNES AND HELENE RAYMOND, 'The heterogeneity of exchange rate expectations according to survey data,' Document de travail du THEMA 9418, November 1994.
4. BOOTHE, PAUL, 'Speculative profit opportunities in the Canadian foreign exchange market, 1974-1978,' Canadian Journal of Economics, November 1983, 16: 603-611.
5. BOOTHE, PAUL AND DEBRA GLASSMAN, 'Comparing exchange rate forecasting models: Accuracy vs. profitability,' International Journal of Forecasting, June 1987, 3: 65-79.
6. CAVAGLIA, STEFANO, WILLEM F.C. VERSCHOOR AND CHRISTIAN C.P. WOLFF, 'Further evidence on exchange rate expectations,' Journal of International Money and Finance, April 1993, 12: 78-98.
7. DE LONG, J. BRADFORD, A. SHLEIFER, L.H. SUMMERS AND R.J. WALDMANN, 'Noise trader risk in financial markets,' Journal of Political Economy, 1990, 98: 703-738.
8. DOMINGUEZ, KATHRYN, 'Are foreign exchange forecasts rational? New evidence from survey data,' Economics Letters, 1986, 21: 277-282.
9. FRANKEL, JEFFREY A. AND KENNETH A. FROOT, 'Using survey data to test standard propositions regarding exchange rate expectations,' American Economic Review, March 1987, 77: 133-153.
10. FRANKEL, JEFFREY A. AND KENNETH A. FROOT, 'Interpreting tests of forward discount bias using survey data on exchange rate expectations,' Quarterly Journal of Economics, February 1989, 104: 139-161.
11. FRANKEL, JEFFREY A. AND KENNETH A. FROOT, 'Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market,' NBER Working Paper No. 3470, 1990 (1990a).
12. FRANKEL, JEFFREY A. AND KENNETH A. FROOT, 'Chartists, fundamentalists, and the demand for dollars,' in Courakis, Anthony S. and Mark P. Taylor, eds, Private Behavior and Government Policy and Interdependent Economies, Oxford: Clarendon Press, 1990 (1990b).
13. FRANKEL, JEFFREY A. AND ANDREW ROSE, 'A survey of empirical research on nominal exchange rates,' NBER Working Paper, No. 4865, 1994.
14. GALLANT, A. RONALD, P.E. ROSSI AND GEORGE TAUCHEN, 'Stock prices and volume,' Review of Financial Studies, 1992, 5: 199-242.
15. GROSSMAN, SANFORD, 'On the efficiency of competitive stock markets where traders have diverse information,' Journal of Finance, May 1976, 31: 573-585.
16. GROSSMAN, SANFORD, 'Further results on the informational efficiency of competitive stock markets,' Journal of Economic Theory, 1978, 18: 81-101.
17. HOGAN, KEDRETH C. AND MICHAEL T. MELVIN, 'Sources of meteor showers and heat waves in the foreign exchange market,' Journal of International Economics, 1994, 37: 239-247.
18. ITO, TAKATOSHI, 'Foreign exchange rate expectations: Micro survey data,' American Economic Review, June 1990, 80: 434-439.
19. ITO, TAKATOSHI, ROBERT F. ENGLE AND W. LIN, 'Where does the meteor shower come from? The role of stochastic policy coordination,' Journal of International Economics, 1992, 32: 221-240.
20. LEITCH, GORDON AND J. ERNEST TANNER, 'Economic forecast evaluation: Profits vs. the conventional error measures,' American Economic Review, June 1991, 81: 589-590.
21. LYONS, RICHARD D., 'Private beliefs and informational externalities in the foreign exchange market,' mimeo, 1991.
22. LYONS, RICHARD D., 'Tests of microstructural hypothesis in the foreign exchange market,' NBER Working Paper No. 4471, 1993.
23. MACDONALD, RONALD, 'Are foreign exchange market forecasters rational?: Some survey based tests', The Manchester School of Economic and Social Studies, June 1991, 58: 229-241.
24. MACDONALD, RONALD, 'Exchange rate survey data: A disaggregated G-7 perspective,' Manchester School of Economic and Social Studies, June 1992, 60: 47-62.
25. MACDONALD, RONALD AND IAN W. MARSH, 'Combining exchange rate forecasts: What is the optimal consensus measure?,' Journal of Forecasting, May 1994, 13: 313-332.
26. MACDONALD, RONALD AND THOMAS C. TORRANCE, 'On risk, rationality and excessive speculation in the Deutsche mark-US dollar exchange market: Some evidence using survey data,' Oxford Bulletin of Economics and Statistics, May 1988, 50: 544-561.
27. MARSH, IAN W. AND DAVID POWER, 'A note on the performance of foreign exchange forecasters in a portfolio framework,' Journal of Money and Banking, 1995, forthcoming.
28. MEESE, RICHARD A. AND KENNETH ROGOFF, 'Empirical exchange rate models of the seventies: Do they fit out of sample?,' Journal of International Economics, February 1983, 14: 345-373, (1983a).
29. MEESE, RICHARD A. AND KENNETH ROGOFF, 'The out-of-sample failure of empirical exchange rate models: Sampling error or misspecification?,' in Jacob A. Frenkel ed, Exchange Rates and International Macroeconomics, Chicago: University of Chicago Press, 1983 (1983b).
30. PRAT, GEORGE AND REMZI UCTUM, 'Analyse de l'hypothesis de changements endogenes dans le process anticipatif: L'example des anticipations de change,' University of Paris, mimeo, 1995.
31. PRENTICE, M.J., 'On the problem of m incomplete rankings,' Biometrika, 1979, 66: 167-170.
32. TAGAKI, SHINJI, 'Exchange rate expectations: A survey of survey studies,' International Monetary Fund Staff Papers, March 1991, 38: 156-183.
33. VARIAN, HAL R., 'Differences of opinion in financial markets,' in Stone, Courtnay C., ed, Financial Risk: Theory, Evidence and Implications, Boston: Kluwer Academic Publishers, 1989.