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Patterns in Exchange Rate Forecasts for Twenty-five Currencies

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Author Info

  • Chinn, Menzie
  • Frankel, Jeffrey

Abstract

The properties of exchange-rate forecasts are investigated, with a data set encompassing a broad cross section of currencies. Over the entire sample, expectations appear to be biased. This result is robust to the possibility of random measurement error in the survey measures. There appear to be statistically significant differences in the degree of bias in subgroupings of the data: the bias is lower for the high-inflation countries; the bias is greater for the major currencies studied in earlier papers; and the bias is also greater for the EMS currencies. Copyright 1994 by Ohio State University Press.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 26 (1994)
Issue (Month): 4 (November)
Pages: 759-70

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Handle: RePEc:mcb:jmoncb:v:26:y:1994:i:4:p:759-70

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Josh Stillwagon, 2013. "Does the Consumption CAPM Help in Accounting for Expected Currency Returns?," Working Papers 1317, Trinity College, Department of Economics.
  2. Josh Stillwagon, 2013. "Currency Risk and Imperfect Knowledge: Volatility and Long Swings around Benchmark Values," Working Papers 1315, Trinity College, Department of Economics.
  3. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
  4. Clements, Kenneth W. & Lan, Yihui, 2010. "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1424-1437, November.
  5. Pasricha, Gurnain, 2007. "Financial Integration in Emerging Market Economies," MPRA Paper 5278, University Library of Munich, Germany.
  6. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  7. Josh Stillwagon, 2013. "The Excess Returns Puzzle in Currency Markets: Clues on Moving Forward," Working Papers 1313, Trinity College, Department of Economics.
  8. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
  9. Márcio G. P. Garcia, 2002. "Brazil in the 21st century: How to escape the high real interest trap?," Textos para discussão 466, Department of Economics PUC-Rio (Brazil).
  10. Josh Stillwagon, 2013. "Rethinking What Survey Data has to Say about the Role of Risk and Irrationality in Currency Markets," Working Papers 1314, Trinity College, Department of Economics.
  11. Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi, 2013. "Inefficiency in Survey Exchange Rates Forecasts," Working Papers 1/13, Sapienza University of Rome, DISS.
  12. Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  13. Josh Stillwagon, 2013. "Are Risk Premia Related to Real Exchange Rate Swings? Survey Expectations and I(2) Trends," Working Papers 1318, Trinity College, Department of Economics.
  14. Imad Moosa & Abul Shamsuddin, 2004. "Expectation formation mechanisms, profitability of foreign exchange trading and exchange rate volatility," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1599-1606.
  15. Ravi Balakrishnan & Volodymyr Tulin, 2006. "U.S. Dollar Risk Premiums and Capital Flows," IMF Working Papers 06/160, International Monetary Fund.

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