Individual exchange rate forecasts and expected fundamentals


Dick, Christian D. ; MacDonald, Ronald ; Menkhoff, Lukas


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URL: https://ub-madoc.bib.uni-mannheim.de/29762
Additional URL: http://www.zew.de/de/publikationen/publikation.php...
URN: urn:nbn:de:bsz:180-madoc-297625
Document Type: Working paper
Year of publication: 2011
The title of a journal, publication series: ZEW Discussion Papers
Volume: 11-062
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: F31 , F37 , E44,
Subject headings (SWD): Deutschland , Wechselkurs , Erwartungsbildung , Wertpapieranalyse , Makroökonomie , Prognose , Sachverständiger , Schätzung
Keywords (English): Exchange rate determination , individual expectations , macroeconomic fundamentals
Abstract: This paper suggests that exchange rates are related to economic fundamentals over medium-term horizons, such as a month or longer. We find from a large panel of individual professionals' forecasts that good exchange rate forecasts benefit from the proper understanding of fundamentals, specifically good interest rate forecasts. This relation is robust to individual fixed effects and further controls. Reassuringly, this relation is stronger during obvious fundamental misalignment. This occurs when exchange rates substantially deviate from their PPP values, when interest rate differentials are high and when exchange rates are less influenced by strong momentum.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Dick, Christian D. ; MacDonald, Ronald ; Menkhoff, Lukas (2011) Individual exchange rate forecasts and expected fundamentals. Open Access ZEW Discussion Papers Mannheim 11-062 [Working paper]
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