TY - UNPD A1 - Frenkel, Michael A1 - Mauch, Matthias A1 - Rülke, Jan-Christoph T1 - Forecaster rationality and expectation formation in foreign exchange markets N2 - This paper uses the Consensus Economic Forecast poll to investigate how forecasters in the foreign exchange market form expectations. In order to explain the expectation formation of forecasters, around 50,000 forecasts for 22 OECD-member currencies are analyzed. The results indicate that forecasters do not form expectations rationally when tested for unbiasedness and orthogonality. The results also suggest that forecasts for industrialized economies show a mix of trend-following and fundamentally-oriented behavior. By contrast, forecasts for emerging markets show significantly more destabilizing expectations. We find forecasting tendencies to strengthen in the short-run and medium-run when controlling for the Balassa-Samuelson effect. For long-run forecasts however this can not be confirmed. T3 - WHU – Working Paper Series in Economics - WP 17/04 KW - Foreign exchange KW - Forecast bias KW - Expectation formation KW - Chartist KW - Fundamentalist KW - Balassa-Samuelson Y1 - 2017 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/403 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-4036 SN - 2511-1159 VL - 2017 IS - WP 17/04 PB - WHU CY - Vallendar ER -