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Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria

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Author Info

  • Michael Berlemann

    ()

  • Kalina Dimitrova

    ()

  • Nikolay Nenovsky

Abstract

Econometric forecasting models typically perform bad in volatile environments as they are often present in economies in transition. Since forecasts of key macroeconomic variable are inevitable as guidelines for economic policy, one might alternatively make attempts at measuring market participants’ expectations or conduct surveys. However, often financial markets are underdeveloped and regular surveys are unavailable in transition countries. In this paper we propose to conduct experimental stock markets to reveal market participants’ expectations. W? present the results fr?m a series of pilot markets conducted in Bulgaria throughout 2002 indicating that the method could be useful especially for transition countries.

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File URL: http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp759.pdf
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Bibliographic Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp759.

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Length: pages
Date of creation: 01 Mar 2000
Date of revision:
Handle: RePEc:wdi:papers:2005-759

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Related research

Keywords: forecasting; macroeconomics; inflation; exchange rates; experimental stock markets;

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References

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  1. Woodford, Michael, 1995. "Price-level determinacy without control of a monetary aggregate," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 43(1), pages 1-46, December.
  2. Elizabeth Brainerd & David M. Cutler, 2005. "Autopsy on an Empire: Understanding Mortality in Russia and the Former Soviet Union," William Davidson Institute Working Papers Series wp740, William Davidson Institute at the University of Michigan.
  3. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," Ifo Working Paper Series Ifo Working Papers No. 10, Ifo Institute for Economic Research at the University of Munich.
  4. Forsythe, Robert & Forrest Nelson & George R. Neumann & Jack Wright, 1992. "Anatomy of an Experimental Political Stock Market," American Economic Review, American Economic Association, vol. 82(5), pages 1142-61, December.
  5. Michael Woodford, 2001. "Fiscal Requirements for Price Stability," NBER Working Papers 8072, National Bureau of Economic Research, Inc.
  6. Berlemann, Michael, 2001. "Forecasting inflation via electronic markets: Results from a prototype market," Dresden Discussion Paper Series in Economics 06/01, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  7. Potters, J.J.M. & Jacobsen, B. & Schram, A. & Winden, F.A.A.M. van & Wit, J., 2000. "(In)accuracy of a European political stockmarket: The influence of common value structures," Open Access publications from Tilburg University urn:nbn:nl:ui:12-86743, Tilburg University.
  8. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
  9. Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 48(3), pages 265-280, July.
  10. Jeffrey B Miller, 2001. "The Bulgarian Currency Board," Comparative Economic Studies, Palgrave Macmillan, vol. 43(1), pages 53-74, April.
  11. Eichberger, Jurgen & Harper, Ian R., 1997. "Financial Economics," OUP Catalogue, Oxford University Press, number 9780198775409, Octomber.
  12. Komulainen, Tuomas & Pirttilä, Jukka, 2000. "Fiscal Explanations for Inflation: Any Evidence from Transition Economies?," BOFIT Discussion Papers 11/2000, Bank of Finland, Institute for Economies in Transition.
  13. repec:wop:humbsf:2001-57 is not listed on IDEAS
  14. Cukierman, Alex, 1982. "Relative price variability, inflation and the allocative efficiency of the price system," Journal of Monetary Economics, Elsevier, vol. 9(2), pages 131-162.
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Cited by:
  1. Michael Berlemann, 2004. "Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 57(16), pages 21-29, 08.
  2. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," Ifo Working Paper Series Ifo Working Papers No. 10, Ifo Institute for Economic Research at the University of Munich.

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