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Herdenverhalten von Wechselkursprognostikern?

Pierdzioch, Christian; Stadtmann, Georg - In: Journal of Economics and Statistics (Jahrbuecher fuer … 230 (2010) 4, pp. 436-453

Exchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that...

Persistent link: https://www.econbiz.de/10008646853

House Price Forecasts, Forecaster Herding, and the Recent Crisis

Pierdzioch, Christian; Rülke, Jan Christoph; … - In: International Journal of Financial Studies 1 (2012) 1, pp. 16-29

We used the Wall Street Journal survey data for the period 2006–2012 to analyze whether forecasts of house prices and … housing starts provide evidence of (anti-)herding of forecasters. Forecasts are consistent with herding (anti-herding) of … forecasters if forecasts are biased towards (away from) the consensus forecast. We found that anti-herding is prevalent among …

Persistent link: https://www.econbiz.de/10011029811

Who believes in the Taylor principle? Evidence from the Livingston survey

Pierdzioch, Christian; Rülke, Jan-Christoph; … - In: Economics Letters 117 (2012) 1, pp. 96-98

The Livingston survey data are used to investigate whether economists’ forecasts are consistent with the Taylor …

Persistent link: https://www.econbiz.de/10011041787

Survey Forecasts and Money Demand Functions: Some International Evidence

Pierdzioch, Christian; Rülke, Jan-Christoph; … - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 57 (2011) 1, pp. 5-14

between professional economists' forecasts of the growth rate of money supply, the inflation rate, the growth rate of real …' forecasts for fourteen Asian-Pacific and Central and South-Eastern European countries, we find that the correlations between … professional economists' forecasts are broadly consistent with the money demand function implied by the macroeconomic model. …

Persistent link: https://www.econbiz.de/10010567109

Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - Institute for the Study of Labor (IZA) - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

Persistent link: https://www.econbiz.de/10005703010