Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pablo Pincheira-Brown, Federico Neumann

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

4 Citas (Scopus)

Resumen

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the driftless random walk in terms of mean squared prediction error at several forecasting horizons. A similar result is found when precision is measured in a direction-of-change dimension: survey-based forecasts outperform a “pure luck” benchmark at several forecasting horizons. Our findings suggest that survey-based forecasts of the Chilean exchange rate should be considered as a tough benchmark to beat for economic models, tougher indeed than the traditional driftless random walk.

Idioma originalInglés
Número de artículo101380
PublicaciónFinance Research Letters
Volumen37
DOI
EstadoPublicada - nov. 2020
Publicado de forma externa

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