frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank's policy … rate, the market participants typically have a statistically significant higher forecast accuracy than the random …-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform …

data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …

This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …

-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade … returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

We study the expectations of individual forecasters in the foreign exchange market. We find that the survey risk … premium is less countercyclical than the rational risk premium, primarily because it is not related to the forward premium. We … also find that forecasters learn from their own forecast errors (rather than from consensus forecast errors) and that they …

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four …-looking risk measures that do not depend from the amount of historical data used and that, through the implied moments of options …