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

Simon Sosvilla-Rivero and Maria del Carmen Ramos-Herrera
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Maria del Carmen Ramos-Herrera: Universidad Complutense de Madrid
Authors registered in the RePEc Author Service: Maria del Carmen Ramos Herrera ()

No 12-02, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: 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.

Keywords: Exchange rates, Forecasting; Expectations; Panel data; Econometric models (search for similar items in EconPapers)
JEL-codes: C33 D84 F31 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2012-02
New Economics Papers: this item is included in nep-for and nep-mon
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Related works:
Working Paper: On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey (2014)
Journal Article: On the forecast accuracy and consistency of exchange rate expectations: the Spanish PwC Survey (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:1202

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