Abstract
In this paper we use a unique disaggregate expectations data base to model the expectations formation of around 40 leading foreign exchange forecasters/dealers. Panel estimators are used to increase the power of the tests and to study various types of heterogeneities across forecasters. We find that both model heterogeneities and coefficient heterogeneities are important across individual forecasters, although the latter seem to be reduced at the 12-month compared with the 3-month horizon.
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