CEU Electronic Theses and Dissertations, 2014
| Author | Monostoriné Grolmusz, Viola Csilla |
|---|---|
| Title | Are Exchange Rate Forecasts Rational? Evidence from Central and Eastern European Multi-Horizon Survey Forecasts |
| Summary | In most empirical studies using survey forecasts, researchers assume forecast rationality. If this assumption did not hold, many findings of the pertaining literature would need to be revisited. The goal of this thesis is to test the rationality of exchange rate survey forecasts for three Central and Eastern European currencies: the Czech Koruna, the Hungarian Forint and the Polish Zloty (against the Euro). I use conventional Mincer-Zarnowitz tests, together with tests based on multi-horizon bounds and other regression-based tests that use information from forecast revisions. I find mixed results on forecast rationality: while the bounds tests fail to reject rationality, I find bias and endogeneity on the Hungarian Forint and the Polish Zloty samples, and a rejection of optimality by the Mincer-Zarnowitz test on the HUF/EUR exchange rate. |
| Supervisor | Lieli, Robert |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2014/grolmusz_viola.pdf |
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