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Les erreurs de prévision de change ont-elles des caractéristiques hétérogènes ?

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  • Agnès Bénassy-Quéré
  • Hélène Raymond

Abstract

[eng] Exchange Rate Forecasting Errors Using Survey Data: Are the Characteristics Homogenous or Heterogeneous? . Agnès Bénassy-Quéré and Hélène Raymond . Surveys of expectations provide valuable information on speculative exchange rate behaviour. We analyse the properties of forecasting errors for three exchange rates against the dollar (deutschemark, yen and pound sterling) and one exchange rate against the deutschemark (French franc). We use a set of descriptive statistics and econometric tests to identify the main characteristics of the forecasting errors and detect any differences across the forecasting ranges, the currencies and the periods. Three partially intersecting surveys (Economist, Consensus Forecasts and Banque Nationale de Paris) are used to check the universality of the results obtained and to envisage a fourth source of heterogeneity: disparities in the forecasting methods used by the different participants. We conclude that the characteristics of forecasting errors are more heterogeneous in terms of currencies and periods than in terms of forecasting ranges and surveys. [fre] Les erreurs de prévision de change ont-elles des caractéristiques hétérogène ? Agnès Bénassy-Quéré et Hélène Raymond . Les enquêtes sur les anticipations fournissent de précieuses informations sur les comportements spéculatifs sur le change. Nous analysons les propriétés des erreurs de prévision pour trois taux de change contre le dollar (deutsche mark, yen et livre sterling) et un contre le mark (franc français). Un ensemble de statistiques descriptives et de tests économétriques nous permet de caractériser les erreurs de prévision et de détecter d'éventuelles hétérogénéités selon les horizons de prévision, les monnaies et les périodes. L'utilisation de trois enquêtes se recoupant partiellement (Economist, Consensus Forecasts, Banque Nationale de Paris) permet de vérifier la généralité des résultats obtenus ainsi que d'envisager une quatrième source d'hétérogénéité : des disparités dans les méthodes de prévision des différents participants. Nous concluons que les caractéristiques des erreurs de prévision présentent plus d'hétérogénéité selon les monnaies et les périodes que selon les horizons et les enquêtes.

Suggested Citation

  • Agnès Bénassy-Quéré & Hélène Raymond, 1996. "Les erreurs de prévision de change ont-elles des caractéristiques hétérogènes ?," Économie et Prévision, Programme National Persée, vol. 125(4), pages 137-157.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_125_4_5815
    DOI: 10.3406/ecop.1996.5815
    Note: DOI:10.3406/ecop.1996.5815
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    1. Pierre Villa, 1997. "Ces taux de change réels qui bifurquent," Working Papers 1997-05, CEPII research center.

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