On the forecast accuracy and consistency of exchange rate expectationsThe Spanish PwC Survey
- Simón Sosvilla-Rivero
- Maria del Carmen Ramos-Herrera
ISSN: 2339-9570
Datum der Publikation: 2014
Nummer: 2
Art: Arbeitsdokument
Andere Publikationen in: Documentos de trabajo = Working Papers ( Instituto Complutense de Estudios Internacionales ): Nueva época
Zusammenfassung
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.