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Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists

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Author Info
Karlyn Mitchell () (Department of Business Management, North Carolina State University)
Douglas K. Pearce () (Department of Economics, North Carolina State University)

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Abstract

Recent work on expectations suggests that professional forecasters may have incentives that lead them to make more extreme forecasts than they would make were accuracy the only criterion. We use the interest rate and exchange rate forecasts from the Wall Street Journal?s panel of economists to investigate this issue. We examine the unbiasedness and forecast accuracy of individual forecasters, finding that several forecasters produce biased forecasts and most forecasters cannot out-predict a random walk model. Our tests show evidence of systematic heterogeneity across forecasters and are consistent with independent forecasters making more radical predictions than forecasters from financial institutions.

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File URL: ftp://ftp.ncsu.edu/pub/ncsu/economics/RePEc/pdf/wsjpaper.pdf
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Publisher Info
Paper provided by North Carolina State University, Department of Economics in its series Working Paper Series with number 004.

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Length: 41 pages
Date of creation: Oct 2004
Date of revision:
Handle: RePEc:ncs:wpaper:004

Note: First draft 2004-10
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Related research
Keywords: evaluation of forecasts; financial market forecasting; rationality; incentives;

Other versions of this item:

Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
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    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Reitz, Stefan & Ruelke, Jan & Stadtmann, Georg, 2009. "Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price," MPRA Paper 15607, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-11-17.

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