ツチヤ　ヨウイチ   TSUCHIYA YOICHI   土屋　陽一    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2015/09
形態種別	学術雑誌
査読	査読あり
標題	Herding behavior and loss functions of exchange rate forecasters over interventions and financial crises
執筆形態	単著
掲載誌名	International Review of Economics & Finance
掲載区分	国外
出版社・発行元	ELSEVIER SCIENCE BV
巻・号・頁	39,pp.266-276
著者・共著者	Yoichi Tsuchiya
概要	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