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Author : Peter Bofinger
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (548 download)
Download or read book Bias of Professional Exchange Rate Forecasts written by Peter Bofinger and published by . This book was released on 2004 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Bofinger
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (249 download)
Download or read book Biases of Professional Exchange Rate Forecasts written by Peter Bofinger and published by . This book was released on 2004 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Johannes Leitner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Systematic Comparison of Professional Exchange Rate Forecasts with Judgmental Forecasts of Novices - are There Substantial Differences? written by Johannes Leitner and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts of novices. In search of reasonable explanations for the astonishing result, we evaluate the nature of professional and experimental expectations in more detail and find that while professional exchange rate forecasts seem to be biased predictors for the future exchange rates, judgmental forecasts appear to be unbiased. Furthermore, professional forecasters consistently expect a reversal of forgoing exchange rate changes whereas novices expect a continuation of current movements in the short-run and are reversed in the long-run.
Author : Jeffrey A. Frankel
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market written by Jeffrey A. Frankel and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Menzie David Chinn
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book Are Exchange Rate Expectations Biased? written by Menzie David Chinn and published by . This book was released on 1991 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raj Aggarwal
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (13 download)
Download or read book Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates written by Raj Aggarwal and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even though the forward-spot relationship in currency markets is very important for policy makers and for corporate and investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of the future spot rate, but this hypothesis has little empirical support. For the currencies of the nine major industrialized countries, this paper documents that in spite of the very high trading volumes in currency markets, consistent with evidence for other asset markets, revisions in the forward rate forecasts of the future spot exchange rate reflect systematic pessimism and under-reaction to new information.
Author : Charles Engel
Publisher :
ISBN 13 :
Total Pages : 113 pages
Book Rating : 4.:/5 (642 download)
Download or read book Why is the Forward Exchange Rate Forecast Biased? written by Charles Engel and published by . This book was released on 1995 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Ullrich
Publisher : Springer Science & Business Media
ISBN 13 : 3642004954
Total Pages : 206 pages
Book Rating : 4.6/5 (42 download)
Download or read book Forecasting and Hedging in the Foreign Exchange Markets written by Christian Ullrich and published by Springer Science & Business Media. This book was released on 2009-05-30 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Historical and recent developments at international ?nancial markets show that it is easy to loose money, while it is dif?cult to predict future developments and op- mize decision-making towards maximizing returns and minimizing risk. One of the reasons of our inability to make reliable predictions and to make optimal decisions is the growing complexity of the global economy. This is especially true for the f- eign exchange market (FX market) which is considered as one of the largest and most liquid ?nancial markets. Its grade of ef?ciencyand its complexityis one of the starting points of this volume. From the high complexity of the FX market, Christian Ullrich deduces the - cessity to use tools from machine learning and arti?cial intelligence, e.g., support vector machines, and to combine such methods with sophisticated ?nancial mod- ing techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation. I am pleased to introduce this book to its - dience, hoping that it will provide the reader with interesting ideas to support the understanding of FX markets and to help to improve risk management in dif?cult times. Moreover, I hope that its publication will stimulate further research to contribute to the solution of the many open questions in this area.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 145197020X
Total Pages : 36 pages
Book Rating : 4.4/5 (519 download)
Download or read book Exchange Rate Expectations written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-06-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend to move away from some long-run “normal” values, long-run expectations tend to regress toward them. If this nature of short-run expectations increases the volatility of exchange rate movements, there may be a basis for some official measure to minimize short-run exchange rate movements.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Onur Ince
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)
Download or read book Rationality and Forecasting Accuracy of Exchange Rate Expectations written by Onur Ince and published by . This book was released on 2019 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 developed and 23 developing countries at the 3-, 12-, and 24-month horizons. Using the data from two surveys for the period from 2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For developed countries, forecasts are strongly biased at the 3-month horizon, the bias decreases at the 12-month horizon, and increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long-term forecasts are more accurate than short-term forecasts. Economic evaluation of the forecasts indicates that the forecasters are successful at generating positive economic profits, and economic gains of the forecasts for developed countries improve with the forecast horizon.
Author : Peter Bofinger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the Eur/Us-$ Rate written by Peter Bofinger and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 our analysis attributed to the fact that professional forecasts are to a large extend influenced by actual changes in exchange rates. A reasonable explanation for this behaviour can be derived from the behavioural finance literature. According to the anchoring heuristic decision processes are often dominated by available pieces of information even if they are obviously of no relevance.
Author : Menzie David Chinn
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Are exchange rate expectations biased? tests for a cross-section of 25 currencies written by Menzie David Chinn and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Guy Meredith
Publisher : International Monetary Fund
ISBN 13 : 1451843933
Total Pages : 33 pages
Book Rating : 4.4/5 (518 download)
Download or read book Medium-Term Exchange Rate Forecasting written by Mr.Guy Meredith and published by International Monetary Fund. This book was released on 2003-01-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.
Author : Robert Schmidt
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Reliability of Professional Exchange Rate Forecasts written by Robert Schmidt and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The study analyses the characteristics of professional exchange rate forecasts for the Ĩ/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 our analysis attributed to the fact that professional forecasts are to a large extend influenced by actual changes in exchange rates. A reasonable explanation for this behaviour can be derived from the behavioural finance literature. According to the anchoring heuristic decision processes are often dominated by available pieces of information even if they are obviously of no relevance.
Author : Peter Bofinger
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (547 download)
Download or read book Should One Rely on Professional Exchange Rate Forecasts? written by Peter Bofinger and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451842260
Total Pages : 22 pages
Book Rating : 4.4/5 (518 download)
Download or read book Long written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-01-01 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.
