On the Forecast Accuracy and Consistency of Exchange Rate Expectations: The Spanish PwC Survey

DEFI Working Paper No. 12-02

9 Pages Posted: 24 Feb 2012

See all articles by Simon Sosvilla-Rivero

Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

María del Carmen Ramos-Herrera

Universidad Complutense de Madrid (UCM)

Date Written: February 21, 2012

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 stabilizing expectations in the short-run and destabilizing 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

JEL Classification: F31, D84, C33

Suggested Citation

Sosvilla-Rivero, Simon and Ramos-Herrera, María del Carmen, On the Forecast Accuracy and Consistency of Exchange Rate Expectations: The Spanish PwC Survey (February 21, 2012). DEFI Working Paper No. 12-02 . Available at SSRN: https://ssrn.com/abstract=2009867 or http://dx.doi.org/10.2139/ssrn.2009867

Simon Sosvilla-Rivero (Contact Author)

UCM Institute for Economic Analysis ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

María del Carmen Ramos-Herrera

Universidad Complutense de Madrid (UCM) ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain

Register to save articles to
your library

Register

Paper statistics

Downloads
50
Abstract Views
533
PlumX Metrics