Market Participants’ Forecasts of Financial Variables – Can Survey Data Outperform the Random Walk?
Kamil Kladivko () and
Pär Österholm
Additional contact information
Kamil Kladivko: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden, https://www.oru.se/english/employee/kamil_kladivko
No 2019:10, Working Papers from Örebro University, School of Business
Abstract:
In this paper, we evaluate the forecasting precision of survey expectations of the four financial variables in the Prospera survey commissioned by Sveriges Riksbank – one of Sweden’s most important economic surveys. Our analysis shows that the market participants in the survey are able to significantly outperform the random walk for only one horizon and variable, namely the three-month horizon for the repo rate. At the longest horizon for the repo rate, and at all horizons for the five-year government bond yield, the random walk signif-icantly outperforms the market participants. For the exchange-rate data studied – SEK/USD and SEK/EUR – no significant differences in forecasting precision can be established. It accordingly seems that while the Prospera survey might be informative regarding the market participants’ expectations, it does not carry much information about the actual future developments of the exchange rates and interest rates covered by the survey.
Keywords: Out-of-sample forecasts; Exchange rates; Interest rates (search for similar items in EconPapers)
JEL-codes: E47 G17 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2019-11-27
New Economics Papers: this item is included in nep-fmk, nep-mac, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://www.oru.se/globalassets/oru-sv/institution ... s2019/wp-10-2019.pdf Full text (application/pdf)
Related works:
Journal Article: Do market participants’ forecasts of financial variables outperform the random-walk benchmark? (2021) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2019_010
Access Statistics for this paper
More papers in Working Papers from Örebro University, School of Business Örebro University School of Business, SE - 701 82 ÖREBRO, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by ().