Do Professional Forecasters Follow Uncovered Interest Rate Parity?

Constantin Bürgi and Mengdi Song

No 11338, CESifo Working Paper Series from CESifo

Abstract: Not according to our data. We use two data sets to test whether professional forecasters follow uncovered interest rate parity (UIP) when making their exchange rate predictions both based on point prediction and direction. We find that professional forecasters generally do not follow UIP across a range of currencies and horizons. Given the prevalence of the UIP condition in our international macro models, these results reiterate the importance of finding the drivers for these deviations.

Keywords: focus economics; Bloomberg Survey; exchange rates (search for similar items in EconPapers)
JEL-codes: F31 F37 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-mon
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