The Informational Content of Consumer Expectations on the Direction of Exchange Rate Movements
Abstract
This paper shows that the University of Michigan’s ”Survey of Consumers“ can be useful in predicting the direction of change in five U.S. dollar exchange rates. The explanatory power, however, is contingent on the particular survey question employed and the forecast horizon under consideration. The study finds that the survey question regarding car purchases does especially well in predicting the future direction of exchange rate movements. Furthermore, the results generally indicate that the survey is more useful when making distant (i.e., 12‐month ahead) currency forecast than for making near term (i.e., 3‐month and 6‐month ahead) predictions.
Keywords
Citation
Simpson, M.W. and Ramchander, S. (2004), "The Informational Content of Consumer Expectations on the Direction of Exchange Rate Movements", American Journal of Business, Vol. 19 No. 1, pp. 31-36. https://doi.org/10.1108/19355181200400003
Publisher
:Emerald Group Publishing Limited
Copyright © 2004, Emerald Group Publishing Limited