Do foreign exchange forecasters believe in Uncovered Interest Parity?

•UIP is generally rejected in empirical work.•We analyse whether Consensus Forecasts are based on UIP in a group of Central and Eastern European countries.•We use econometric methods which account for breaks.

Uncovered Interest Parity (UIP) is typically rejected in empirical studies, but this letter finds nevertheless that Consensus Forecasts of the exchange rate for Central and Eastern European countries are based on UIP. When structural breaks are included, the forecasts are found to deviate from UIP in 2008-09 when financial markets were under severe stress.