Market participants or the random walk: Who forecasts better? Evidence from micro-level survey data

Arbeitspapier

We analyse micro-level data concerning four financial variables in Sveriges Riksbank's Prospera Survey to evaluate the accuracy of forecasts provided by professionals active in the Swedish fixed-income market. Our results indicate that for the SEK/EUR and SEK/USD exchange rates, and the five-year government bond yield, none of the market participants that frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank's policy rate, the market participants typically have a statistically significant higher forecast accuracy than the random-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform the market participants.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2/2023

Classification and Topics

• Classification: Wirtschaft ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Financial Forecasting and Simulation
• Subject: Out-of-sample forecasts ; Exchange rates ; Interest rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kiss, Tamás ; Kladivko, Kamil ; Silfverberg, Oliwer ; Österholm, Pär
• Event: Veröffentlichung
• (who): Örebro University School of Business
• (where): Örebro
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/274602
• Last update: 10.03.2025, 11:42 AM CET