Zuverlässigkeit von Zinsprognosen in der Region Asien-Pazifik. Chancen für das Portfoliomanagement
Ibrahim Filiz, Thomas Nahmer, Markus Spiwoks and Kilian Bizer
sofia Diskussionsbeiträge 2018, No. 2 https://doi.org/10.46850/sofia.9783941627666
Wir untersuchen Zinsprognosen aus Australien, China, Hongkong, Indien, Indonesien, Malaysia, Neuseeland, Singapur, Südkorea, Taiwan und Thailand. Wir werten 532 Prognosezeitreihen mit insgesamt 85.264 einzelnen Zins-prognosen aus. Wir nehmen einen Vergleich zur naiven Prognose vor und untersuchen die Prognosezeitreihen auf gegenwartsorientierte Verlaufsanpassungen. Außerdem verwenden wir den Vorzeichentest und den Test auf Unverzerrtheit. Die Ergebnisse fallen teilweise recht ernüchternd aus. 95,9% aller Prognosezeitreihen sind vom Phänomen der gegenwartsorientierten Verlaufsanpassung geprägt. 99,4% aller Prognosezeitreihen erweisen sich als verzerrt. Nur ein kleiner Teil der Prognosezeitreihen (3,6%) bildet die künftige Zinsentwicklung signifikant genauer ab als eine naive Prognose. Zum Teil fallen die Untersuchungsergebnisse jedoch auch überraschend positiv aus. Der Vorzeichentest offenbart, dass 48,3% aller Prognosezeitreihen die künftige Entwicklungsrichtung signifikant besser erfassen als eine Zufallsprognose.
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