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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
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:mcb:jmoncb:v:26:y:1994:i:4:p:759-70

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Cited by:
  1. Chinn, Menzie D. & Meredith, Guy, 2000. "Testing Uncovered Interest Parity at Short and Long Horizons," Discussion Paper Series 26355, Hamburg Institute of International Economics.
  2. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
  3. Imad Moosa & Abul Shamsuddin, 2004. "Expectation formation mechanisms, profitability of foreign exchange trading and exchange rate volatility," Applied Economics, Taylor and Francis Journals, vol. 36(14), pages 1599-1606.
  4. 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).
  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. Kenneth W Clements & Yihui Lan, 2006. "A New Approach to Forecasting Exchange Rates," Economics Discussion / Working Papers 06-29, The University of Western Australia, Department of Economics.
  8. 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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