ABSTRACT
Introduction A new literature uses surveys of market participants to measure their expectations of exchange rates. I This paper extends earlier tests, based on a broader sample of survey expectations. More currencies are studied than in the early literature, many of them in newly-important emerging markets. (The countries and currencies are listed in the first appendix to the paper.) More importantly, tentative assessments are made regarding the characteristics of long horizon forecasts, whereas all prior research has focused on short to medium horizons (one week to one year). Finally, we investigate the improvement in fit for a structural exchange rate model using survey-based measures of the exchange risk premium.
