Currency forecasters are heterogeneous: confirmation and consequences

Article Abstract:

Foreign exchange forecasters have heterogeneous expectations. Using a disaggregated survey database, results reveal that forecasters have different interpretation of common information resulting in differences of opinion. However, these disagreements become economically meaningful differences in forecast accuracy because they constitute major variables in the determination of market trading volume.

Analysis, Forecasts and trends, Economic forecasting

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Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate

Article Abstract:

Lagged adjustment of the direct yen/dmark cross-rate to variations in the dollar implied rate was produced in the study of the dynamic relations between the direct quotes of the yen/dmark rate and the rate presumed by yen/dollar and d/dollar rates. Technical snags ensue in assessing auto-correlations and cross-correlations because of the high-frequency data observed at unsystematic intervals.

Yen (Japan), Mark (Germany)

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Market frictions and real exchange rates

Article Abstract:

Substantial deviations, between most countries, from the purchasing power parity seem to be at least as determined as small deviations, may be even more so. The exceptions are found in several intra-EC real exchange rates. The significance is that market hostilities alone do not account for the highly unrealistic nature of purchasing power parity.

Commerce, Purchasing power

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