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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
CESifo Working Paper No. 2615
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show consistent ability as their forecasting success holds across currencies. They seem to possess knowledge on the role of fundamentals in explaining exchange rate behavior, as indicated by better interest rate forecasts. Superior forecasters are more experienced than the median forecaster and have fewer personnel responsibilities. Accordingly, foreign exchange markets may function in less puzzling and irrational ways than is often thought.
Schlagwörter: 
foreign exchange market
individual exchange rate forecasts
interest rate forecasts
forecaster experience
JEL: 
F31
G14
Dokumentart: 
Working Paper
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