Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists

Karlyn Mitchell () and Douglas Pearce
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Karlyn Mitchell: Department of Business Management, North Carolina State University

No 4, Working Paper Series from North Carolina State University, Department of Economics

Abstract: Recent work on expectations suggests that professional forecasters may have incentives that lead them to make more extreme forecasts than they would make were accuracy the only criterion. We use the interest rate and exchange rate forecasts from the Wall Street Journal?s panel of economists to investigate this issue. We examine the unbiasedness and forecast accuracy of individual forecasters, finding that several forecasters produce biased forecasts and most forecasters cannot out-predict a random walk model. Our tests show evidence of systematic heterogeneity across forecasters and are consistent with independent forecasters making more radical predictions than forecasters from financial institutions.

Keywords: evaluation of forecasts; financial market forecasting; rationality; incentives (search for similar items in EconPapers)
JEL-codes: C53 E44 E47 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2004-10
New Economics Papers: this item is included in nep-ecm, nep-ifn and nep-mon
Note: First draft 2004-10
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Related works:
Journal Article: Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists (2007)
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