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Wie gut sind professionelle Wechselkursprognosen?

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  • Peter Bofinger
  • Robert Schmidt

Abstract

Die künftige Entwicklung der Wechselkurse ist für viele wirtschaftliche Entscheidungen von besonderer Bedeutung. Gerade die jüngste Aufwertung des Euro gegenüber dem US-Dollar hat deutlich vor Augen geführt, wie negativ sich unerwartete Wechselkursänderungen auswirken können. Um Risiken und Erträge von Wechselkursänderungen zu optimieren, betreiben zahlreiche Unternehmen ein aktives Währungsmanagement. Eine wichtige Voraussetzung jedes Währungsmanagements sind Wechselkursprognosen. Da es kein Wechselkursmodell gibt, das zu befriedigenden Ergebnissen führt, greifen die Unternehmen häufig auf die Prognosen professioneller Analysten zurück. Am Lehrstuhl für Volkswirtschaftslehre, Geld und internationale Wirtschaftsbeziehungen der Universität Würzburg wurde geprüft, wie sinnvoll es ist, sich an solchen Marktprognosen zu orientieren. Das Ergebnis ist einigermaßen ernüchternd: Die Marktprognosen keiner der drei in die Untersuchung einbezogenen Anbieter (Consensus Economics, Reuters, ZEW-Finanzmarkttest) lieferte brauchbare Entscheidungshilfen für international tätige Unternehmen. Des weiteren ergab die Analyse, dass die betrachteten Marktprognosen nicht mit dem Konzept »rationaler« Erwartungen in Einklang zu bringen sind. Die Analysten orientieren sich offensichtlich zu sehr an der zum Zeitpunkt der Prognoseerstellung zu beobachtenden Kursentwicklung. Dieses Verhalten lässt sich anhand der Verankerungs- und Anpassungsheuristik, die in der Literatur zur Behavioural Finance eine wichtige Rolle spielt, gut erklären.

Suggested Citation

  • Peter Bofinger & Robert Schmidt, 2003. "Wie gut sind professionelle Wechselkursprognosen?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(17), pages 7-14, September.
    • Handle: RePEc:ces:ifosdt:v:56:y:2003:i:17:p:7-14
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    References listed on IDEAS

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    1. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-153, March.
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    3. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    4. Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," The Journal of Business, University of Chicago Press, vol. 67(3), pages 321-343, July.
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    Cited by:

    1. Leitner, Johannes & Schmidt, Robert & Bofinger, Peter, 2003. "Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices," W.E.P. - Würzburg Economic Papers 39, University of Würzburg, Department of Economics.

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    More about this item

    Keywords

    Wechselkurs; Euro; US-Dollar; Prognose; Währungsmanagement;
    All these keywords.

    JEL classification:

    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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