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Patterns in Exchange Rate Forecasts for 25 Currencies

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  • Menzie Chinn
  • Jeffrey Frankel

Abstract

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.

Suggested Citation

  • Menzie Chinn & Jeffrey Frankel, 1991. "Patterns in Exchange Rate Forecasts for 25 Currencies," NBER Working Papers 3807, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:3807
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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