Agreeing on disagreement: Heterogeneity or uncertainty?

Saskia ter Ellen, Willem F.C. Verschoor, Remco C.J. Zwinkels*

*Corresponding author for this work

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We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the U.S. dollar over the 2001–2017 period. We obtain measures of uncertainty and find that disagreement is not robustly related to uncertainty, as results depend heavily on the forecast horizon. In addition, we find that disagreement is positively associated with market liquidity and trading activity. This confirms that disagreement is not a proper proxy for uncertainty and suggests that it is more akin to heterogeneity.

Original languageEnglish
Pages (from-to)17-30
Number of pages14
JournalJournal of Financial Markets
Early online date25 Feb 2019
Publication statusPublished - Jun 2019


  • Disagreement
  • Foreign exchange markets
  • Heterogeneity
  • Uncertainty

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