Inefficiency in Survey Exchange Rates Forecasts

Francesca Pancotto, Filippo Maria Pericoli and Marco Pistagnesi

No 1/13, Working Papers from Sapienza University of Rome, DISS

Abstract: We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following five 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 find 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 financial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts.

Keywords: Forecast; inefficiency (search for similar items in EconPapers)
Date: 2013-06
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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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