Patterns in Exchange Rate Forecasts for 25 Currencies

Menzie Chinn and Jeffrey Frankel

No 3807, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures. Investors would be better off placing less weight on their forecasts or the forward rate, and more on the current spot rate.

Date: 1991-08
Note: ITI IFM
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Published as Journal of Money, Credit, and Banking. vol. 26, no. 4, Nov. 1994.pp. 754-770

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Working Paper: Patterns in Exchange Rate Forecasts for 25 Currencies (1993)
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