Martin Wolf

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Prof. Dr.
Last Name
Wolf
First name
Martin
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martin.wolf@unisg.ch
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+41 71 224 25 82

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    Item type:Publication,
    Exchange Rate Expectations
    (2026-04-10)
    Wolf, Martin  
    ;
    Born, Benjamin
    ;
    Gernot Müller
    Based on a large panel of professional forecasters, we establish five facts about exchange rate expectations. First, they are unbiased. Second, they deviate from the random walk prediction-more so for longer forecast horizons. Third, they imply larger forecast errors than the random walk model. Fourth, expected (actual) depreciation co-moves positively (negatively) with the forward premium. Fifth, at the individual forecaster level, forecast revisions overreact to news. We interpret these findings through a macroeconomic model in which exchange rate movements are driven by fundamentals. The model explains the first two facts under rational expectations, and all five under diagnostic expectations.
    Type:working paper
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/125453