Do dollar forecasters believe too much in PPP?

C-Tier
Journal: Applied Economics
Year: 2008
Volume: 40
Issue: 3
Pages: 261-270

Authors (3)

Lukas Menkhoff (Humboldt-Universität Berlin) Rafael Rebitzky (not in RePEc) Michael Schroder (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article extends earlier studies on exchange-rate expectations' formation by using new data and adding information about forecasters' reliance on fundamental analysis for the first time. We replicate the conventional result of nonrational expectations. Moreover, biases in expectations are identified as professionals significantly believe too much in mean reversion, mean being represented by purchasing power parity (PPP). When respondents are grouped on their reliance to fundamental analysis, fundamentalists reveal an even stronger bias. Those, who rely the least on fundamentals - preferring technical analysis instead - show a significantly smaller bias towards PPP in lieu of expecting too much trend extrapolation. Biased beliefs will grow stronger when the US Dollar is further away from PPP. Finally, the accuracy of the expectations is poor for both groups, however, we find directional forecasting ability.

Technical Details

RePEc Handle
repec:taf:applec:v:40:y:2008:i:3:p:261-270
Journal Field
General
Author Count
3
Added to Database
2026-01-26