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Inefficiency in Survey Exchange Rates Forecasts

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  • Francesca Pancotto

    ()

  • Filippo Maria Pericoli

    ()

  • Marco Pistagnesi

Abstract

We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following .ve bilateral exchange rates: EUR/GBP, EUR/JPY, EUR/USD, GBP/USD and USD/JPY, for the timespan ranging from the third quarter 2006 up to the fourth quarter of 2011. We .nd that forecasters are on average irrational, failing to identify the true data generating process of bilateral exchange rates and generally overreacting to past observed information. Moreover, exploring individual performance, we can state that .nancial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts

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Bibliographic Info

Paper provided by University of Modena and Reggio E., Dept. of Economics in its series Center for Economic Research (RECent) with number 090.

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Length: pages 34
Date of creation: Mar 2013
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Handle: RePEc:mod:recent:090

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Web page: http://www.recent.unimore.it/
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Keywords: survey forecasts; exchange rates; overreaction;

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