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TSUCHIYA YOICHI
Department Undergraduate School , School of Commerce Position Professor |
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| Language | English |
| Publication Date | 2015/09 |
| Type | Academic Journal |
| Peer Review | Peer reviewed |
| Title | Herding behavior and loss functions of exchange rate forecasters over interventions and financial crises |
| Contribution Type | Sole-authored |
| Journal | International Review of Economics & Finance |
| Journal Type | Another Country |
| Publisher | ELSEVIER SCIENCE BV |
| Volume, Issue, Page | 39,pp.266-276 |
| Author and coauthor | Yoichi Tsuchiya |
| Details | 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. (C) 2015 Elsevier Inc. All rights reserved. |
| DOI | 10.1016/j.iref.2015.04.010 |
| ISSN | 1059-0560 |
| PermalinkURL | http://orcid.org/0000-0003-2485-3959 |