Marsh, Ian W. (1999) An analysis of the performance of European foreign exchange forecasters. Working Paper. Warwick Business School Financial Econometrics Research Centre, University of Warwick.

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Abstract

A database of individual forecasters' exchange rate predictions is analyzed. We demonstrate that only a small minority can be classed as rational, that most forecasts are inferior to easily available alternatives, and that relatively good performance in one period is not a reliable indicator of relatively good performance in subsequent periods.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Foreign exchange rates -- Forecasting
Series Name:	Working Papers Series
Publisher:	Warwick Business School Financial Econometrics Research Centre
Place of Publication:	University of Warwick
Date:	1999
Volume:	Vol.1999
Number:	No.7
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Economic and Social Research Council (Great Britain) (ESRC), Nuffield Foundation (NF)
Grant number:	R000232945 (ESRC)
URI:	http://wrap.warwick.ac.uk/id/eprint/1841

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