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AN ANALYSIS OF THE PERFORMANCE OF EUROPEAN FOREIGN EXCHANGE FORECASTERS *

By Ian W. Marsh A

Abstract

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. JEL Classification Number: F3

Topics: Exchange rate, forecasts, efficiency, performance a
Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.198.285
Provided by: CiteSeerX
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