Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria

28 Pages Posted: 26 May 2005

See all articles by Michael Berlemann

Michael Berlemann

Ifo Institute Dresden

Kalina Dimitrova

Bulgarian National Bank

Nikolay Nenovsky

Bulgarian National Bank

Date Written: March 2005

Abstract

Econometric forecasting models typically perform bad in volatile environments as they are often present in economies in transition. Since forecasts of key macroeconomic variable are inevitable as guidelines for economic policy, one might alternatively make attempts at measuring market participants' expectations or conduct surveys. However, often financial markets are underdeveloped and regular surveys are unavailable in transition countries. In this paper we propose to conduct experimental stock markets to reveal market participants' expectations. We present the results from a series of pilot markets conducted in Bulgaria throughout 2002 indicating that the method could be useful especially for transition countries.

Keywords: Forecasting, macroeconomics, inflation, exchange rates, experimental stock markets

JEL Classification: C93, E37

Suggested Citation

Berlemann, Michael and Dimitrova, Kalina and Nenovsky, Nikolay, Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria (March 2005). Available at SSRN: https://ssrn.com/abstract=729248 or http://dx.doi.org/10.2139/ssrn.729248

Michael Berlemann (Contact Author)

Ifo Institute Dresden ( email )

Einsteinstrasse 3
01069 Dresden, 01062
Germany

Kalina Dimitrova

Bulgarian National Bank ( email )

str "St. Sofia" 5
Sofia, 1040
Bulgaria

Nikolay Nenovsky

Bulgarian National Bank ( email )

str "St. Sofia" 5
Sofia, 1040
Bulgaria
+ 359 2 9145 1239 (Phone)
+ 359 2 980 24 25 (Fax)

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