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Long-horizon Exchange Rate Expectations

出版	Centre for Economic Policy Research, 2023
URL	http://books.google.com.hk/books?id=gnlF0AEACAAJ&hl=&source=gbs_api

註釋We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two-year horizon, both in and out of sample. Exchange rate expectations are also interpretable, in the sense that three macro-finance variables -the risk-neutral covariance between the exchange rate and equity market, the real exchange rate, and the current account relative to GDP- explain most of their variation. Moreover, there is no "secret sauce" in expectations: after controlling for the three macro-finance variables, the residual information in survey expectations does not forecast currency appreciation in our sample.