In a Vox column, Michele Ca’Zorzi, Jakub Mućk and Michał Rubaszek argue that exploiting the “Rogoff’s consensus” helps beat the random walk forecast.

… a calibrated half-life PPP model beats overwhelmingly the random walk in relation to real exchange rate forecasting.

… if the speed of mean reversion is estimated, rather than calibrated, the model performs significantly worse than the random walk due to estimation error.

… the mean reverting nature of real exchange rates can be exploited to outperform the random walk in relation to nominal exchange rate forecasting. For both the case of the euro and the dollar we find that the nominal exchange rate has contributed to the mean reversion process of the real exchange rate rather than just followed a random walk.