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

-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 …

2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …

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 …

forecasts by 25.3%. This study may be the first of its kind to assess analyst earnings forecast accuracy at all listed companies …