Patterns in Exchange Rate Forecasts for 25 Currencies
Working Paper 3807
DOI 10.3386/w3807
Issue Date
We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures. Investors would be better off placing less weight on their forecasts or the forward rate, and more on the current spot rate.
Published Versions
Journal of Money, Credit, and Banking. vol. 26, no. 4, Nov. 1994.pp. 754-770