Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists Export

@article{citeulike:1858255, abstract = {We analyze economists' forecasts of interest rates and exchange rates from the Wall Street Journal. We find that a majority of economists produced unbiased forecasts but that none predicted directions of changes more accurately than chance. Most economists' forecast accuracy is statistically indistinguishable from a random walk model in forecasting the Treasury bill rate, but many are significantly worse in forecasting the Treasury bond rate and the exchange rate. We also find systematic forecast heterogeneity, support for strategic models predicting the industry employing the economist matters, and evidence that economists deviate less from the consensus as they age.}, author = {Mitchell, Karlyn and Pearce, Douglas K.}, citeulike-article-id = {1858255}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jmacro.2005.11.004}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6X4M-4N7YFKN-4/2/ba1f6820c651d220ba8608b780307823}, doi = {10.1016/j.jmacro.2005.11.004}, journal = {Journal of Macroeconomics}, keywords = {exchange\_rate, forecast}, month = {December}, number = {4}, pages = {840--854}, posted-at = {2007-11-03 02:45:10}, priority = {2}, title = {Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists}, url = {http://dx.doi.org/10.1016/j.jmacro.2005.11.004}, volume = {29}, year = {2007} }

TY - JOUR ID - citeulike:1858255 L3 - citeulike-article-id:1858255 N2 - We analyze economists' forecasts of interest rates and exchange rates from the Wall Street Journal. We find that a majority of economists produced unbiased forecasts but that none predicted directions of changes more accurately than chance. Most economists' forecast accuracy is statistically indistinguishable from a random walk model in forecasting the Treasury bill rate, but many are significantly worse in forecasting the Treasury bond rate and the exchange rate. We also find systematic forecast heterogeneity, support for strategic models predicting the industry employing the economist matters, and evidence that economists deviate less from the consensus as they age. IS - 4 JF - Journal of Macroeconomics EP - 854 TI - Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists VL - 29 SP - 840 KW - exchange_rate KW - forecast AU - Mitchell, Karlyn AU - Pearce, Douglas PY - 2007/12// UR - http://dx.doi.org/10.1016/j.jmacro.2005.11.004 ER -