Market Participants or the Random Walk – Who Forecasts Better? Evidence from Micro Level Survey Data

Tamas Kiss, Kamil Kladivko (), Oliwer Silfverberg () 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
Oliwer Silfverberg: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden, https://www.oru.se/english/employee/oliwer_silfverberg

No 2023:2, Working Papers from Örebro University, School of Business

Abstract: We analyse micro-level data concerning four financial variables in Sveriges Riksbank’s Prospera Survey to evaluate the accuracy of forecasts provided by professionals active in the Swedish fixed-income market. Our results indicate that for the SEK/EUR and SEK/USD exchange rates, and the five-year government bond yield, none of the market participants that frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank’s policy rate, the market participants typically have a statistically significant higher forecast accuracy than the random-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform the market participants.

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: 14 pages
Date: 2023-01-18
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Journal Article: Market participants or the random walk – who forecasts better? Evidence from micro-level survey data (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2023_002

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