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

Simon Sosvilla-Rivero and Maria del Carmen Ramos Herrera ()

No 1402, Working Papers del Instituto Complutense de Estudios Internacionales from Universidad Complutense de Madrid, Instituto Complutense de Estudios 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.; Tipos de Cambios; Predicción; Expectativas; Datos de Panel; Modelos Econométricos. (search for similar items in EconPapers)
Pages: 17 pages
Date: 2014
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Related works:
Journal Article: On the forecast accuracy and consistency of exchange rate expectations: the Spanish PwC Survey (2013)
Working Paper: On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey (2012)
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