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On the directional accuracy of forecasts of emerging market exchange rates

Christian Pierdzioch and Jan-Christoph Rülke

International Review of Economics & Finance, 2015, vol. 38, issue C, 369-376

Abstract: We use survey data to study whether the exchange-rate forecasts made by professional forecasters are informative with respect to the direction of subsequent changes of (Asian, Eastern European, and South American) emerging market exchange rates. While results vary across exchange rates, we find that forecasts often contain information with respect to directional changes of exchange rates. We derive our empirical results using techniques developed to analyze relative operating characteristic (ROC) curves.

Keywords: Exchange rates; Emerging markets; Forecasts; Direction of change (search for similar items in EconPapers)
JEL-codes: D84 F31 F47 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.iref.2015.03.003

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