Forecaster Heterogeneity, Surprises and Financial Markets

44 Pages Posted: 8 Nov 2015

Date Written: July 21, 2015


We analyze the impact of US macroeconomic surprises and forecaster heterogeneity on the USD/EUR exchange rate and US and German long-term interest rates from 1999 to 2014. We show how a direct proxy of macroeconomic disagreement, given by the heterogeneity of beliefs among forecasters regarding the upcoming macroeconomic release, matters to explain the daily and intra-day movements. Surprises impact more strongly long-term yields and the exchange rate when forecaster heterogeneity is smaller. This result, holds for the main US macroeconomic surprises and is robust to the frequency of the data used in the estimation. However the sensitivity changes with the sample. To this end, we show how estimating the same regressions in a pre-crisis period, a crisis period, and an unconventional monetary policy period there is evidence of time variation in the responses: unconventional monetary policies attenuated the response of the exchange rate to US macroeconomic news, while no major change occurred for long-term interest rates in the US and in the euro area. The disagreement regimes remain relevant in determining an asymmetric response of these asset prices. Our finding underscores the importance of considering beliefs heterogeneity to describe the behavior of asset prices even at high frequency.

Keywords: surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy

JEL Classification: E44, E52, F31, G14

Suggested Citation

Pericoli, Marcello and Veronese, Giovanni Furio, Forecaster Heterogeneity, Surprises and Financial Markets (July 21, 2015). Bank of Italy Temi di Discussione (Working Paper) No. 1020, Available at SSRN: or

Marcello Pericoli (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma


Giovanni Furio Veronese

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
+49 621 189 1886 (Phone)
+49 621 189 1884 (Fax)

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