Wpływ zmian globalnej awersji do ryzyka na eksperckie prognozy kursów walutowych w kontekście rosnącej internacjonalizacji rynków finansowych

• Autorzy: Krystian Jaworski

Warianty tytułu

Impact of Changing Risk Aversion on Professionals' Exchange Rate Forecasts in the Context of Growing Internationalization of Financial Markets

• Języki publikacji: PL

Abstrakty

Zaobserwowano, że prognozy eksperckie analityków wykazują tendencję do błędu w tym samym kierunku ("przestrzelenie" w górę albo w dół w stosunku do realizacji) jednocześnie w przypadku większości kursów walutowych rynków wschodzących. W dobie rosnącej internacjonalizacji coraz większą rolę w kształtowaniu kursów walutowych odgrywają mechanizmy związane z globalnymi przepływami kapitału. W artykule wykazano, że zmiany globalnej awersji do ryzyka są czynnikiem powodującym zakłócenia prognoz analityków, a mianowicie występowania jednokierunkowego błędu tych prognoz. Wyniki te dotyczą powiązań nastrojów rynkowych w różnych krajach wskutek globalizacji oraz ich wpływu na zaburzenia oczekiwań rynkowych co do przyszłej wartości kursów walutowych. Mają one znaczenie w analizie własności prognoz kursowych przygotowywanych przez ekspertów - w szczególności w zakresie równania oczekiwań do średniej (mean reversion) oraz obciążenia prognoz (bias).(abstrakt oryginalny)

EN

It was observed that professionals' exchange rate forecasts show a tendency to miss the target in the same fashion (overshooting or undershooting vs. the ex post observation) simultaneously in the case of the majority of emerging markets' exchange rates. Considering growing internationalization, global capital flows play a crucial role in foreign exchange rates fluctuations. This paper shows that changing risk aversion negatively impacts experts' forecasting accuracy, namely causes the aforementioned one-sided errors. Such finding is noteworthy in the context of interrelationship of market sentiments in different countries due to globalization and its impact on distortions in exchange rate expectations. Our results are also vital regarding the properties of professionals' exchange rate forecasts - particularly regarding mean reversion and forecast bias.(original abstract)

Słowa kluczowe

PL

Kurs walutowy; Prognozowanie kursów walut; Rynki wschodzące; Internacjonalizacja

EN

Exchange rates; Exchange rates forecasting; Emerging markets; Internationalization

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2018
• Numer: nr 372
• Strony: 149--160

Twórcy

autor

Krystian Jaworski

• Szkoła Główna Handlowa w Warszawie

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