The Returns to Following Currency Forecasts

The Predictive Power of Survey‐Based Exchange Rate Forecasts: Is there a Role for Dispersion?

“…Survey respondents are about 40 in number and include multinational firms, forecasting firms and banks. Lehner et al (), Frankel & Froot (), Chinn & Frankel () and Bacchetta et al () all employ the FX4casts dataset in their research. Each of these studies provides some evidence that the dataset may be an improvement in forecasting compared to a random walk.…”

“…FX4Casts, formerly known as Forecasts Limited, Inc., provides the consensus forecast of exchange rates dating back to 1986 for major currencies; however, the weakest and strongest forecasts are reported starting in October 2001. Survey respondents are about 40 in number and include multinational firms, forecasting firms and banks Lehner et al (2005),Frankel and Froot (1987),Chinn and Frankel (2002). andBacchetta et al (2006) all employ the FX4casts dataset in their research.…”