Arbeitspapier
Exchange rate forecasts and expected fundamentals
Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls. Reassuringly, the relationship is stronger during phases when the impact from fundamentals is more obvious, e.g., when exchange rates substantially deviate from their PPP values. Finally, forecasters largely agree that an interest rate increase relates to a currency appreciation, but only good forecasters get expected interest rates right.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1974
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Finance Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
- Thema
-
Exchange Rate Determination
Individual Expectations
Macroeconomic Fundamentals
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dick, Christian D.
MacDonald, Ronald
Menkhoff, Lukas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dick, Christian D.
- MacDonald, Ronald
- Menkhoff, Lukas
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2014
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