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

卷:54

Article

关键词: EXCHANGE-RATES;    OIL PRICES;    MODELS;    WELL;   

DOI  :  10.1016/j.frl.2023.103752

来源: SCIE

【 摘 要 】

We analyse micro-level data concerning four financial variables in Sveriges Riksbank's Prospera Survey to evaluate the precision 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 pre-cision than the random-walk forecast at the three-month horizon; however, at the two-and five-year horizons, the random-walk forecast typically outperforms the market participants.

【 授权许可】

Free