Inefficiency in Survey Exchange Rates Forecasts

Francesca Pancotto, Filippo Maria Pericoli and Marco Pistagnesi

Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

Abstract: We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following .ve bilateral exchange rates: EUR/GBP, EUR/JPY, EUR/USD, GBP/USD and USD/JPY, for the timespan ranging from the third quarter 2006 up to the fourth quarter of 2011. We .nd that forecasters are on average irrational, failing to identify the true data generating process of bilateral exchange rates and generally overreacting to past observed information. Moreover, exploring individual performance, we can state that .nancial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts

Keywords: survey forecasts, exchange rates, overreaction (search for similar items in EconPapers)
JEL-codes: F31 G02 (search for similar items in EconPapers)
Pages: pages 34
Date: 2013-03
New Economics Papers: this item is included in nep-cba, nep-for, nep-mon and nep-opm
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Citations: View citations in EconPapers (2)

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Working Paper: Inefficiency in Survey Exchange Rates Forecasts (2013)
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