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Patterns in Exchange Rate Forecasts for 25 Currencies

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  • Menzie Chinn and 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.
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Suggested Citation

  • Menzie Chinn and Jeffrey Frankel., 1993. "Patterns in Exchange Rate Forecasts for 25 Currencies," Center for International and Development Economics Research (CIDER) Working Papers C93-009, University of California at Berkeley.
    • Handle: RePEc:ucb:calbcd:c93-009
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    JEL classification:

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

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