Patterns in Exchange Rate Forecasts for 25 Currencies

Menzie Chinn and Jeffrey Frankel

No 233182, Center for International and Development Economics Research (CIDER) Working Papers from University of California-Berkeley, Department of Economics

Abstract: The properties of exchange rate forecasts are investigated, with a data set encompassing a broad cross section of currencies. Over the entire sample, expectations appear to be biased. This result is robust to the possibility of random measurement error in the survey measures. There appear to be statistically significant differences in the degree of bias in subgroupings of the data: (i) the bias is lower for the high-inflation countries; (ii) the bias is greater for the major currencies studied in earlier papers; and (iii) the bias is also greater for the EMS currencies.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 31
Date: 1993-01
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Patterns in Exchange Rate Forecasts for 25 Currencies (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbewp:233182

DOI: 10.22004/ag.econ.233182

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