Currency crises, uncertain fundamentals and private-sector forecasts
The cross-sectional dispersion of private-sector forecasts has been used in recent research on currency crises as a measure of uncertainty over expected fundamentals. We argue that the cross-sectional dispersion of private-sector forecasts need not only reflect uncertainty over expected fundamentals but may also arise due to a deliberate scattering of forecasts. Using data on foreign exchange (FX) reserve forecasts for 11 South-American and Eastern-European countries, we report evidence of such a forecast scattering that seems more pronounced during the economic crisis of 2008/09.
Year of publication: |
2013
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Authors: | Rülke, Jan-Christoph ; Pierdzioch, Christian |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 20.2013, 5, p. 489-494
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Publisher: |
Taylor & Francis Journals |
Saved in:
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