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Market participants or the random walk – who forecasts better? Evidence from micro-level survey data
Finance Research Letters ( IF 10.4 ) Pub Date : 2023-03-05 , DOI: 10.1016/j.frl.2023.103752
Tamás Kiss, Kamil Kladívko, Oliwer Silfverberg, Pär Österholm

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 precision 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.



中文翻译:

市场参与者或随机游走——谁的预测更好?来自微观调查数据的证据

我们分析了 Sveriges Riksbank 的Prospera Survey中四个金融变量的微观数据,以评估活跃在瑞典固定收益市场的专业人士提供的预测的准确性。我们的结果表明,对于 SEK/EUR 和 SEK/USD 汇率以及五年期政府债券收益率,经常参与调查的市场参与者没有一个能够显着优于随机游走预测。对于央行的政策利率,市场参与者通常在三个月的时间范围内具有比随机游走预测更高的统计显着预测精度;然而,在两年和五年的时间范围内,随机游走预测通常优于市场参与者。

更新日期:2023-03-05
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