Research Discussion Paper – RDP 2025-09 Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data

Contents

• Introduction
• Literature Survey
• Data
• Method
• Results
• Conclusion
• Appendix A: Point-in-time Sampled Nominal Bilateral Exchange Rates
• Appendix B: Inputs into Bilateral RER and EER Calculations
• Appendix C: Calculation of Chained EER
• Appendix D: Real-time Forecast Accuracy for Other Exchange Rates
• Appendix E: Robustness – Model-based Forecast Assumptions
• Appendix F: Robustness – Countries with Flexible Exchange Rates
• References

We thank Jennifer Castle, Michael Clements, Vito Cormun, Reinhard Ellwanger, Jarkko Jääskelä, Alexandre Kohlhas, Massimiliano Marcellino and Matthew Read. We also thank participants at the 43rd International Symposium on Forecasting, the Reserve Bank of Australia seminar, the 58th Annual Canadian Economics Association Meetings, the 9th Annual Conference of the Society for Economic Measurement (SEM), the 2025 Real-time Economics (RTE) Conference, and the 3rd Vienna Workshop on Economic Forecasting for their discussions, comments, and suggestions. We are grateful to Paula Drew for her publications assistance. This research was supported by the Social Sciences and Humanities Research Council (SSHRC) grant 430-2020-01202. An earlier version of this research was a chapter of Martin McCarthy's PhD thesis. The views expressed in this paper are those of the authors and should not be attributed to the Reserve Bank of Australia. Any errors are the sole responsibility of the authors.

Endnotes

Economic Research Department, Reserve Bank of Australia [*]

Department of Economics, Wilfrid Laurier University [**]