 Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environmentAna Iregui, Héctor M. Núñez and Jesus Otero Journal of Economic Behavior & Organization, 2021, vol. 187, issue C, 290-314 Abstract: We use the Banco de la República expectations survey of external economic analysts to study whether fixed-event individual forecasts of inflation and exchange rate are updated efficiently when new information becomes available. To this end, we test for weak-form and strong-form efficiency. The novel aspects of this paper are that we relax the individual homogeneity assumption, and consider a forecasters’ information set that contains a large number of empirically relevant variables. We address model selection using two of the most popular methods available in the penalised regression literature, and a new form of multiple testing. Our results show that more than half of the analysts’ revisions are independent of one another (weakly efficient). Also, conditional on passing weak efficiency, we find that analysts use past values of inflation and exchange rate changes to revise their forecasts and a broader array of variables during periods of market instability. Keywords: Fixed-event forecasts; Weak-form efficiency; Strong-form efficiency; Expectations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:187:y:2021:i:c:p:290-314 DOI: 10.1016/j.jebo.2021.04.037 Access Statistics for this article Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D. More articles in Journal of Economic Behavior & Organization from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.