Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractUsing a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls. Reassuringly, the relationship is stronger during phases when the impact from fundamentals is more obvious, e.g., when exchange rates substantially deviate from their PPP values. Finally, forecasters largely agree that an interest rate increase relates to a currency appreciation, but only good forecasters get expected interest rates right.
Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10064.pdf Non-technical summaryThe empirical term structure literature shows that long-term interest rates are not merely We empirically show that expectations about risk premia are significantly influenced by expectations about real macroeconomic activity (such as GDP), while nominal factors (such as inflation expectations) play a minor role. The uncertainty of forecasters about future business cycle movements also has a pronounced effect on risk premium expectations.Our results indicate that expected risk premia are positively correlated with expectations about GDP and inflation. Higher uncertainty with respect to macroeconomic variables also increases expected risk premia. We also examine how the shape of the yield curve is related to expected risk premia. For instance, the curvature of the yield curve can be explained by information which is also captured by the expected change in risk premia of forecasters in the SPF.Finally, we show that the expected changes in risk premia actually do forecast bond excess returns. This underlines that our proxy for risk premium expectations is indeed informative for developments in bond markets. AbstractBased on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables as well as aggregate macroeconomic uncertainty at the level of individual forecasters. We find that expected term premia are (i) time-varying and reasonably persistent, (ii) strongly related to expectations about future output growth, and (iii) positively affected by uncertainty about future output growth and inflation rates. Expectations about real macroeconomic variables seem to matter more than expectations about nominal factors. Additional findings on term structure factors suggest that the level and slope factor capture information related to uncertainty about real and nominal macroeconomic prospects, and that curvature is related to subjective term premium expectations themselves. Finally, an aggregate measure of forecasters' term premium expectations has predictive power for bond excess returns over horizons of up to one year.JEL-Classification: E43, E44, G12
Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp08060.pdf Nontechnical SummaryThe Olympic Games usually involve substantial infrastructure investment and boost tourism to the host country. Therefore, the economic impact of the Olympic Games usually receives broad public alertness. However, a full evaluation of this economic impact is rather difficult, since such a mega event has short term and long term, as well as direct and indirect effects, which complicates the estimation of its costs and benefits.Stock market provides an alternative way of evaluating the economic impact of Olympic Games.The stock market, a barometer of the economy, is commonly believed to reflect the expectations for the economic outlook. Mega sports events are usually perceived to positively affect the host countries' economy. Hence, the announcement of the host city by the International Olympic Committee should result in a positive reaction of the stock market of the country which is awarded the sports event ("winner country") and in a negative one in those of their unsuccessful competitors ("losing countries").This paper studies the stock market reactions to the announcement of the Olympic Games host cities during the last three decades. We find a significant and positive announcement effect of hosting the Summer Games which is reflected in the returns (additional 2 percent cumulated over the following days). We do not find any significant results for the Winter Games. Neither do we detect a significant impact when bidders lose the competition. Our results differ from those of a similar study by Mirman and Sharma (2008), who find that the Winter Games are subject to a significantly negative announcement impact, while the Summer Games are not. Our results, however, rely on a larger sample of 15 Olympic events and are obtained by assessing the observed returns after the announcement against a "business-as-usual" situation (instead of testing the difference between the winner group and the loser group).Our findings are in line with economic intuition, since the Summer Games are larger than the Winter Games and are thus more likely to have a significant impact. We also find that among the winners, small economies tend to have greater cumulative abnormal returns than their large peers. AbstractBy means of an event study of stock market reactions to the announcement of the Olympic Games host cities, we find a significant and positive announcement effec...
Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp08060.pdf Nontechnical SummaryThe Olympic Games usually involve substantial infrastructure investment and boost tourism to the host country. Therefore, the economic impact of the Olympic Games usually receives broad public alertness. However, a full evaluation of this economic impact is rather difficult, since such a mega event has short term and long term, as well as direct and indirect effects, which complicates the estimation of its costs and benefits.Stock market provides an alternative way of evaluating the economic impact of Olympic Games.The stock market, a barometer of the economy, is commonly believed to reflect the expectations for the economic outlook. Mega sports events are usually perceived to positively affect the host countries' economy. Hence, the announcement of the host city by the International Olympic Committee should result in a positive reaction of the stock market of the country which is awarded the sports event ("winner country") and in a negative one in those of their unsuccessful competitors ("losing countries").This paper studies the stock market reactions to the announcement of the Olympic Games host cities during the last three decades. We find a significant and positive announcement effect of hosting the Summer Games which is reflected in the returns (additional 2 percent cumulated over the following days). We do not find any significant results for the Winter Games. Neither do we detect a significant impact when bidders lose the competition. Our results differ from those of a similar study by Mirman and Sharma (2008), who find that the Winter Games are subject to a significantly negative announcement impact, while the Summer Games are not. Our results, however, rely on a larger sample of 15 Olympic events and are obtained by assessing the observed returns after the announcement against a "business-as-usual" situation (instead of testing the difference between the winner group and the loser group).Our findings are in line with economic intuition, since the Summer Games are larger than the Winter Games and are thus more likely to have a significant impact. We also find that among the winners, small economies tend to have greater cumulative abnormal returns than their large peers. AbstractBy means of an event study of stock market reactions to the announcement of the Olympic Games host cities, we find a significant and positive announcement effec...
Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW. Non-technical SummaryThe present study compares exchange rate expectations of "chartists" and "fundamentalists." "Chartists" are those financial market participants who base their forecasts and actions on past price movements of their asset (here: a currency). "Fundamentalists," on the other hand, are financial market participants who base their forecasts and actions on economic models.Various studies give empirical evidence for the presence of chartists and fundamentalists in FX markets. Expectation formation of exchange rate forecasters per se has also been studied from various perspectives in the literature. Our study, however, goes beyond previous research, as it is the first to explicitly connect the two strands of literature: how exactly do professional analysts, who claim to be either chartists or fundamentalists, make their respective exchange rate forecasts?Our study is divided into three parts. In a first step, we analyze chartists' and fundamentalists' forecast behavior. Models including chartists and fundamentalists often make specific assumptions about these two groups. Our research can help verify these assumptions. In a second step, we model forecast dynamics caused by changes in forecasting strategies and identify the factors motivating a change in strategy. Theoretical models with chartists and fundamentalists suppose that chartists do not systematically perform worse than fundamentalists (as would be expected in efficient markets). Therefore, in a third step, we investigate forecasting performance, i.e. whether chartists' forecasts may be used as the basis for profitable trading strategies in the same manner as fundamentalists'.In order to address this question, we combine two data sets. One is a set of micro data consisting of monthly USD/EUR forecasts made by professional analysts starting with the introduction of the Euro. Our second data set comprises information on the self-assessment of almost 400 of these professional analysts, i.e., on the degree to which they claim to rely on fundamental analysis or chart analysis to make their forecasts. The combination of the two data sets allows us to put analysts' selfassessment and their actual forecasts into context. Our panel comprises more than 30,000 observations over the course of 153 months.Our results confirm relevant assumptions made in chartist-fundamentalist models: Chartists follow trends more often than fundamentalists and change the direction of their forecasts more often. However, th...
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