On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey
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 month...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2014 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41676 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/41676 |
| Access Level: | acceso abierto |
| Palabra clave: | Exchange rates Forecasting Expectations Panel data Econometric models Tipos de Cambios Predicción Expectativas Datos de Panel Modelos Econométricos Dinero Econometría (Economía) 5304.06 Dinero y Operaciones Bancarias 5302 Econometría |
| Sumario: | 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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