Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274602 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 2/2023
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
We analyse micro-level data concerning four financial variables in Sveriges Riksbank's Prospera Survey to evaluate the accuracy 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 accuracy than the random-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform the market participants.
Subjects: 
Out-of-sample forecasts
Exchange rates
Interest rates
JEL: 
E47
G17
Document Type: 
Working Paper

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