This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …

variability yield forecast improvements at horizons beyond 1-month. At the 1-month horizon, and apart from the standard variance …

are highly correlated. Although we concentrate on forecast combinations and confidence bands, our theory applies to any … huge, and that ignoring (positive) correlation can lead to confidence bands around the forecast combination that are much …

results clearly demonstrate that analyst forecast errors, and forecast dispersion, increase with EPU. US monetary policy … uncertainty and Japanese trade policy uncertainty are particularly important in generating forecast dispersion. The empirical … findings are consistent across forecast horizons ranging from 1-month to 1-year. This has important implications for market …

main text to conserve space (AUD, NOK, SEK, and CHF). Part D shows the recursive relative Root Mean Squared Forecast Error …