Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274599 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 14/2022
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, we analyse how financial market analysts' expectations in the Czech National Bank's Financial Market Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables. Using data from 2001 to 2022, our results indicate that the analysts are able to significantly outperform the random-walk forecast for the repo rate and Prague Interbank Offered Rate at the onemonth forecasting horizon. For the five-year and ten-year interest rate swap rate, the random walk significantly outperforms the analysts at both the one-month and one-year forecasting horizons. For the CZE/EUR exchange rate, no statistically significant differences in forecast precision were found.
Subjects: 
Survey data
Out-of-sample forecasts
Exchange rates
Interest rates
JEL: 
E47
G17
Document Type: 
Working Paper

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