Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate

► We propose a new forecast selection method based on conditional information. ► The method extends forecast switching by Giacomini and White (2006) to a situation with more than two forecast series. ► We apply the method to the monthly yen/dollar exchange rate to investigate the performance of the proposed method. ► Forecast switching based on our method is better than forecast combination when conditional information is accurate. ► We provide Monte Carlo evidence to support the proposed method.