Expectation errors in the foreign exchange market

Alex Ferreira, Michael Moore and Satrajit Mukherjee

Journal of International Money and Finance, 2019, vol. 95, issue C, 44-51

Abstract: A unified theoretical model is developed showing that forecasting errors can be explained by both informational rigidities and portfolio shifts. This is applied to the BRL/USD exchange rate forecasting errors using a unique data set of daily consensus forecasts along with order flow derived from the FX futures market. The results strongly support the theory.

Keywords: Expectation errors; Noisy information; Microstructure; Order flow; Exchange rates (search for similar items in EconPapers)
JEL-codes: D82 F31 F37 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:95:y:2019:i:c:p:44-51

DOI: 10.1016/j.jimonfin.2019.03.005

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