دو ارز، یک مدل؟ مدارک و شواهد از مرکز پیش بینی وال استریت ژورنال

We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar for the period 1999–2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.

In empirical studies of exchange rate models, researchers test the validity of the examined model and rational expectations. Hence, one of the reasons why empirical studies often find little empirical support for the investigated exchange rate model could be the violation of the rational expectation assumption in the foreign exchange market. In fact, a number of studies have raised doubts about the validity of the rational expectations assumption in this market (e.g., Frankel and Froot, 1987, Frankel and Rose, 1995, Menkhoff, 1998 and Menkhoff, 2001). In addition, most empirical exchange rate studies implicitly follow the assumption of traditional exchange rate models which claim that financial agents can be viewed as homogenous. However, studies of market microstructure suggest that there are different groups of traders in the market. This has led several researchers to develop models with a relaxed rational expectation assumption and a consideration of different types of actors in the currency market (e.g., Frankel and Froot, 1988, Frankel and Froot, 1990 and DeLong et al., 1990). In this paper, we use data from the Wall Street Journal (WSJ) poll to compare the characteristics of the expectation formation process in two different currencies. The WSJ data set enables us to perform this comparison because it contains expectations for both the dollar/euro and the yen/dollar exchange rate. We therefore apply this survey to shed light on two aspects of the expectation formation process. The first aspect refers to the question whether the same expectation formation process applies to both currencies. The second aspect deals with the question whether there are differences between the two foreign exchange markets with respect to the homogeneity or heterogeneity of foreign exchange market forecasters.1 The remainder of the paper is structured as follows. In the next section, we describe some details of the WSJ data set. In Section 3, we examine the question whether expectations are formed rationally. Section 4 investigates the expectation formation process and Section 5 compares the specific characteristics of the expectation formation process in the dollar/euro and the yen/dollar market. In Section 6, we summarize our findings and conclude.

In this paper, we use the WSJ poll among economists for the period 1999–2005 in order to compare the expectation formation processes for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar and contrast them with the actual exchange rate dynamics. In addition, we investigate whether the group of forecasters is homogeneous or rather heterogeneous. Despite the limited length of the data set, it is not subject to the typical weaknesses often associated with survey data. Our findings suggest that each individual forecaster applies a similar expectation formation process to the exchange rate of the euro and the yen vis-à-vis the dollar. For both exchange rates, expectations are based on the assumption of contrarian behavior. However, we find that the actual developments in the exchange rate followed a different process during the period examined. The yen exhibits a process with contrarian features which were stronger than anticipated, while the euro exhibits positive autocorrelation in returns. We also find that forecasters are fairly heterogeneous which confirms earlier findings in the literature. Given that the exchange rate of the two currencies did not behave in the same manner, the similarity in the expectation formation process of individual forecasters can explain why forecasters who are successful in their projections of one exchange rate path did not necessarily perform well with respect to the other currency.