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
No 12-02, Working Papers from Asociación Española de Economía y Finanzas Internacionales
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: F31 D84 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mon
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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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