Beating the random walk in Central and Eastern Europe by survey forecasts

Arbeitspapier

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian Koruna. First, different term-structure models are fitted on the survey forecasts. Then, the forecasting performances of the fitted forecasts are compared. The fitted forecasts for the 5 months horizon and beyond are proved to be significantly better than the random walk on the pooled data of the five currencies. The best performing term-structure model is the one that assumes an exponential relationship between the forecast and the forecast horizon, and has time-varying parameters.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MNB Working Papers ; No. 2011/3

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; Financial Aspects of Economic Integration ; Contingent Pricing; Futures Pricing; option pricing
• Thema: evaluating forecasts ; exchange rate ; survey forecast ; time-varying parameter ; term-structure of forecasts ; Wechselkurs ; Prognoseverfahren ; Zinsstruktur ; Random Walk ; Schätzung ; Tschechische Republik ; Ungarn ; Polen ; Slowakei ; Rumänien

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Naszódi, Anna
• Ereignis: Veröffentlichung
• (wer): Magyar Nemzeti Bank
• (wo): Budapest
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/83618
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ