Are consensus FX forecasts valuable for investors?

Marek Kwas, Joscha Beckmann and Michał Rubaszek

International Journal of Forecasting, 2024, vol. 40, issue 1, 268-284

Abstract: We establish a new link between the cross-section of currency returns and survey-based forecasts. Using data from Consensus Economics, we show that surveys provide trading signals which are not entirely driven by standard benchmark trading strategies such as momentum, carry, or value. We evidence the sizable economic value of survey-based trading strategies, as they provide additional excess returns of up to two percentage points per year compared to benchmarks. This illustrates that professionals effectively explore available information and that their expertise can be used to diversify exchange rate portfolios. Our findings are robust against various tests and different currency portfolios structures.

Keywords: Exchange rates; FX surveys; Trading strategies; Forward premium; Trends (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:40:y:2024:i:1:p:268-284

DOI: 10.1016/j.ijforecast.2023.02.007

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