COMBINING EXCHANGE-RATE FORECASTS - WHAT IS THE OPTIMAL CONSENSUS MEASURE

In this paper a high-quality disaggregate database is utilized to exam ine whether individual forecasters produce efficient exchange rate pre dictions and also if the properties of the forecasts change when they are combined. The paper links a number of themes in the ''change rate literature and ''amines various methods of forecast combination. It is demonstrated, inter alia, that some forecasters are better than other s, but that most are not as good as a naive no-change prediction. Comb ining forecasts adds to the accuracy of the predictions, but the gains mainly reflect the removal of systematic and unstable bias.