Do analysts' forecasts of term spread differential help predict directional change in exchange rates?

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• 作者：Hamid Baghestani ^{hbaghestani@aus.edu} ; Hugo Toledo ; ^{htoledo@aus.edu}
• 关键词：F31 ; E43
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：47
• 期：Complete
• 页码：62-69
• 全文大小：389 K
• 卷排序：47

文摘

We find analysts' forecasts of US-Australia and US-UK exchange rates inaccurate. Let FD be Blue Chip analysts' forecast of cross-country term spread differential. Let RD be the random walk forecast of cross-country term spread differential. We show (FD–RD) has directional predictability for the exchange rates for 1997-2007. But (FD–RD) has no directional predictability for the exchange rates for 2008-2015.