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Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung

Eine empirische Untersuchung des Prognoseerfolges von 1995 bis 2004

Zusammenfassung

Das Zentrum für Europäische Wirtschaftsforschung (ZEW) befragt monatlich rund 400 Finanzmarktexperten zu deren Markterwartungen und erarbeitet aus diesen Umfragedaten unter anderem Währungs-, Anleihen- und Aktienmarktprognosen. Eine systematische Auswertung dieser Prognosezeitreihen (März 1995 bis Juni 2004) mit jeweils 112 Prognosedaten erbringt ein ernüchterndes Ergebnis: Alle 16 betrachteten Prognosezeitreihen weisen schlechtere Prognoseergebnisse auf als die jeweiligen Zeitreihen naiver Prognosen. Die Prognoseanstrengungen des ZEW müssen somit als gescheitert betrachtet werden.

Abstract

The Centre for European Economic Research (ZEW) monthly collects capital market estimations from 400 analysts and experts of banks, insurances and other financial institutes. ZEW transforms these estimations to exchange rate forecasts, interest rate forecasts, and stock index forecasts for the most important economies worldwide. This investigation checks 16 ZEW forecasting data time series (March 1995 to June 2004) with 112 observations each. Data analysis reveals that ZEW financial market forecasts fall short of quality requirements. Without exception all 16 forecasting data time series are not as accurate as the time series of naive forecasts. This result discloses that ZEW financial market forecasting effort failed.

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Author information

Correspondence to Markus Spiwoks.

Additional information

JEL classification

G12, E47, F37

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Spiwoks, M., Hein, O. Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung . Wirt Sozialstat Archiv 1, 43–52 (2007) doi:10.1007/s11943-007-0003-x

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Stichwörter

  • Finanzmarktprognose
  • Prognosegüte
  • Zentrum für Europäische Wirtschaftsforschung (ZEW)

Keywords

  • Capital market forecasts
  • Forecast accuracy
  • Centre for European Economic Research (ZEW)