The quality of bank forecasts: The dollar–pound exchange rate, 1990–1993

A general framework for examining the quality of currency forecasts is described. This framework incorporates existing accuracy measures and modifies them to give components of accuracy that are appropriate for statistically derived and judgementally based forecasts. The framework is described and applied to one week ahead US$/UK£ forecasts from three major banks over a three year period between 1990 and 1993. The results suggest that, while overall forecast performance was poor, some aspects of the predictions could still be useful in a practical setting.