Long-Horizon Exchange Rate Expectations

• 成果类型: Article; Early Access
• 署名作者: Kremens, Lukas; Martin, Ian W. R.; Varela, Liliana
• 署名单位: University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13504
• 发表日期: 2025
• 关键词: foreign-currency risk; cross-section; premia; INFORMATION; returns; MARKETS

摘要

We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two-year horizon, both in and out of sample. Exchange rate expectations are also interpretable, in the sense that three macro-finance variables-the risk-neutral covariance between the exchange rate and equity market, the real exchange rate, and the current account relative to GDP-explain most of their variation. There is no secret sauce, however, in expectations: After controlling for the three macro-finance variables, the residual information in survey expectations does not forecast currency appreciation in our sample.