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Rationality and Forecasting Accuracy of Exchange Rate Expectations : Evidence from Survey-Based Forecasts
Ince, Onur - 2019
2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …
Persistent link: https://www.econbiz.de/10012903718
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Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the Eur/Us-$ Rate
Bofinger, Peter; Schmidt, Robert - 2004
The study analyses the characteristics of professional exchange rate forecasts for the E/US-$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according to...
Persistent link: https://www.econbiz.de/10014074962
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Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
Persistent link: https://www.econbiz.de/10001900767
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Should one rely on professional exchange rate forecasts : an empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
Persistent link: https://www.econbiz.de/10001900802
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Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat native random walk forecasts. The root for this deficient...
Persistent link: https://www.econbiz.de/10010498976
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Should one rely on professional exchange rate forecasts : an empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
The study analyses the characteristics of professional exchange rate forecasts for the € /US-$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according...
Persistent link: https://www.econbiz.de/10010498977
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Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates : Evidence of Systematic Pessimism and Under-Reaction
Aggarwal, Raj - 2016
investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of …
Persistent link: https://www.econbiz.de/10013004445
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Are forward exchange rates rational forecasts of future spot rates? : an improved econometric analysis for the major currencies
Aggarwal, Raj; Lin, Winston T.; Mohanty, Sunil - In: Multinational finance journal : MF ; quarterly … 12 (2008) 1/2, pp. 1-20
Persistent link: https://www.econbiz.de/10003744147
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Aspekte des Risiko- und Währungsmanagements nach der Finanzmarktkrise
Kehr, Henning - 2011
Persistent link: https://www.econbiz.de/10012875491
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The Quanto Theory of Exchange Rates
Kremens, Lukas - 2017
quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically … significant predictor of currency appreciation. We also test the quanto variable's ability to forecast differential currency …
Persistent link: https://www.econbiz.de/10012958740