Do forecasters of major exchange rates herd

Abstract This paper examines, whether the market consensus of exchange rate forecasts has an effect on the forecasts of individual experts. Such an effect could take the form of herding or anti-herding. We use a very comprehensive data set to study experts' forecasts of three of the most important exchange rates. The results indicate that anti-herding vis-a-vis the consensus of forecasts occurs more often than herding. We also show how the increase in the forecasting horizon and financial crises affect the intensity of anti-herding behavior. Moreover, we offer some explanations of why the observed behavior occurs and what the practical implications are.