We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the U.S. dollar over the 2001 - 2017 period. We obtain measures of uncertainty and find that disagreement is not robustly...

We find that periods of elevated EPU are associated with higher analyst disagreement, a decrease in forecast accuracy, and a higher degree of conservatism. We show that the decrease in forecast accuracy can be partially attributed to limited attention. A higher level of EPU attracts analysts’...