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

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  • Michael Berlemann
  • Kalina Dimitrova
  • Nikolay Nenovsky

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. W? present the results fr?m a series of pilot markets conducted in Bulgaria throughout 2002 indicating that the method could be useful especially for transition countries.

Suggested Citation

  • Michael Berlemann & Kalina Dimitrova & Nikolay Nenovsky, 2000. "Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria," William Davidson Institute Working Papers Series wp759, William Davidson Institute at the University of Michigan.
    • Handle: RePEc:wdi:papers:2005-759
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    References listed on IDEAS

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    Cited by:

    1. Michael Berlemann, 2004. "Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(16), pages 21-29, August.
    2. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," ifo Working Paper Series 10, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

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    More about this item

    Keywords

    forecasting; macroeconomics; inflation; exchange rates; experimental stock markets;
    All these keywords.

    JEL classification:

    • C93 - Mathematical and Quantitative Methods - - Design of Experiments - - - Field Experiments
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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