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On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey

  • Simón Sosvilla-Rivero

    (Universidad Complutense de Madrid)

  • Maria del Carmen Ramos-Herrera

    (Universidad Complutense de Madrid)

We 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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Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 12-02.

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Length: 9 pages
Date of creation: Feb 2012
Date of revision:
Handle: RePEc:aee:wpaper:1202
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