This paper extends earlier studies on exchange rate expectations' formation by using newdata and adding information about forecasters' reliance on fundamental analysis for the firsttime. We replicate the conventional result of non rational expectations. Moreover, biases inexpectations are...

It is well known from anecdotal, survey and econometric evidence that the relationshipbetween the exchange rate and macro fundamentals is highly unstable. Thiscould be explained when structural parameters are known and very volatile, neitherof which seems plausible. Instead we argue that large...

Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

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...

If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...

Die Europäische Währungsunion (EWU) soll am 1. Januar 1999 starten. Nicht auszuschließen ist, daß die Kriterien des Maastrichter Vertrags bei der Entscheidung über den Teilnehmerkreis Anfang 1998 großzügig gehandhabt werden und damit die Zahl der Teilnehmer hoch sein wird. Eine strikte...

The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...

In diesem Beitrag wird analysiert, ob Wechselkursprognosen Anhaltspunkte dafür liefern, dass Prognostiker ein so genanntes Herdenverhalten zeigen. Auf der Basis unterschiedlicher theoretischer Modellansätze wird skizziert, warum Prognostiker einen Anreiz haben könnten, einem Herdentrieb zu...

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...