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Vom Umgang mit Prognosen und Prognoserisiken am Beispiel der Zinssätze und Wechselkurse
Credit and Capital Markets – Kredit und Kapital, Vol. 26 (1993), Iss. 1 : pp. 60–90
Max Bigler, Zürich
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On the handling of forecast and forecast errors in the case of interest rates and foreign exchange rates. A general approach
This paper discusses the capabilities and limits of different methods designed to describe the ‘confidence intervals’ on interest and exchange rate predictions. In our opinion, there’s no convincing approach yet in the market place that could match both scientific and practical demands. We actually apply a mixed approach which builds on polled expectation data and econometric projections. In times of notoriously biased prices it is indeed helpful to consider the ‘correction processes’ towards equilibrium-prices while describing the pattern of the expected forecast errors.