Patterns in Exchange Rate Forecasts for 25 Currencies

25 Pages Posted: 10 Jul 2007 Last revised: 29 May 2022

See all articles by Menzie David Chinn

Menzie David Chinn

University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics; National Bureau of Economic Research (NBER)

Jeffrey A. Frankel

Harvard University - Harvard Kennedy School (HKS); National Bureau of Economic Research (NBER)

Date Written: August 1991

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.

Suggested Citation

Chinn, Menzie David and Frankel, Jeffrey A., Patterns in Exchange Rate Forecasts for 25 Currencies (August 1991). NBER Working Paper No. w3807, Available at SSRN: https://ssrn.com/abstract=473955

Menzie David Chinn (Contact Author)

University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics ( email )

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Jeffrey A. Frankel

Harvard University - Harvard Kennedy School (HKS) ( email )

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