On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey
AbstractWe examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal evidence of unbiasedness and efficiency in the forecasts. As for the consistency properties of the exchange rate expectations formation process, we find that survey participants form stabilising expectations in the short-run and destabilising expectations in the long- run and that the expectation formation process is closer to fundamentalists than chartists.
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Bibliographic InfoPaper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 12-02.
Length: 9 pages
Date of creation: Feb 2012
Date of revision:
Exchange rates; Forecasting; Expectations; Panel data; Econometric models;
Other versions of this item:
- Simon Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2013. "On the forecast accuracy and consistency of exchange rate expectations: the Spanish PwC Survey," Applied Economics Letters, Taylor & Francis Journals, vol. 20(2), pages 107-110, February.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-FOR-2012-03-08 (Forecasting)
- NEP-MON-2012-03-08 (Monetary Economics)
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