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Inefficiency in Survey Exchange Rates Forecasts

Author

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  • Francesca Pancotto

    (University of Modena and Reggio Emilia)

  • Filippo Maria Pericoli
  • Marco Pistagnesi

Abstract

We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following five bilateral exchange rates: EUR/GBP, EUR/JPY, EUR/USD, GBP/USD and USD/JPY, for the timespan ranging from the third quarter 2006 up to the fourth quarter of 2011. We find that forecasters are on average irrational, failing to identify the true data generating process of bilateral exchange rates and generally overreacting to past observed information. Moreover, exploring individual performance, we can state that financial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts.

Suggested Citation

  • Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi, 2013. "Inefficiency in Survey Exchange Rates Forecasts," Working Papers 1/13, Sapienza University of Rome, DISS.
    • Handle: RePEc:saq:wpaper:1/13
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    References listed on IDEAS

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    Cited by:

    1. Leppin, Julian Sebastian, 2014. "The relation between overreaction in forecasts and uncertainty: A nonlinear approachvon," HWWI Research Papers 158, Hamburg Institute of International Economics (HWWI).
    2. Leppin, Julian Sebstian, 2014. "The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100284, Verein für Socialpolitik / German Economic Association.

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    More about this item

    Keywords

    Forecast inefficiency;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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