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Exchange rate forecasters' performance : evidence of skill?

McDonald, Ronald H.; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

Persistent link: https://www.econbiz.de/10003832110

Seven pitfalls of technical analysis

Caporale, Guglielmo Maria; Plastun, Alex - 2023

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Persistent link: https://www.econbiz.de/10013489574

Selective attention in exchange rate forecasting

Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000...

Persistent link: https://www.econbiz.de/10012433963

Exchange rate expectations of chartists and fundamentalists

Dick, Christian D.; Menkhoff, Lukas - 2013

currency markets since they forecast just as accurately as fundamentalists. Unexpectedly from an efficient market viewpoint …

Persistent link: https://www.econbiz.de/10009727121

The impact of FX central bank intervention in a noise trading framework

Beine, Michel (contributor); De Grauwe, Paul (contributor); … - 2005

and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a …

Persistent link: https://www.econbiz.de/10003113337

The predictive power of political pundits : prescient or pitiful?

Metaxas, Phillip; Leigh, Andrew - 2013

Although Australian political pundits frequently make predictions about the future, little systematic evidence exists on the accuracy of these predictions. To assess the predictive power of experts, we survey the transcripts of two well-known political programs - Insiders and Meet the Press -...

Persistent link: https://www.econbiz.de/10009748356

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Inside the crystal ball : new approaches to predicting the gasoline price at the pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016

the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …

Persistent link: https://www.econbiz.de/10011429580

Forecast uncertainties in macroeconometric modelling : an application to the UK economy

Pesaran, M. Hashem - 2000

This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...

Persistent link: https://www.econbiz.de/10009781626

Forecasting the Brent oil price : addressing time-variation in forecast performance

Manescu, Cristiana; Van Robays, Ine - 2016

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative … across forecast horizons. To address this instability, we propose a forecast combination for predicting quarterly real Brent … generates forecasts whose performance is robust over time. The improvements in forecast accuracy and stability are noticeable in …

Persistent link: https://www.econbiz.de/10011573261

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