My aim is to forecast the one-quarter ahead EUR/USD exchange rate. I have constructed a regression model with the following as explanatory variables: exchange rate in the previous quarter, EUR/USD futures price, American and European GDP growth rate, inflation rate, return on stocks, interest rate on 3-month govt. securities, current account balance, net financial account balance and dummies for the inversion of EU and US yield curve. All the explanatory variables are at one-quarter lag. The input data file could be found here.
I am getting spurious results - all these variables are coming out to be insignificant but surprisingly the R^2 is more than 90%.
Is OLS not a good technique for forecasting exchange rates? If not, then which other techniques could be used?