Forward Foreign Exchange Rates, Expected Spot Rates, and Premia
Title | Forward Foreign Exchange Rates, Expected Spot Rates, and Premia PDF eBook |
Author | Christiaan Cornelis Petrus Wolff |
Publisher | |
Pages | 32 |
Release | 1987 |
Genre | Foreign exchange |
ISBN |
Forward Foreign Exchange Rates and Expected Future Spot Rates
Title | Forward Foreign Exchange Rates and Expected Future Spot Rates PDF eBook |
Author | Christiaan Cornelis Petrus Wolff |
Publisher | |
Pages | 40 |
Release | 1987 |
Genre | Economic forecasting |
ISBN |
Forward Exchange Rates, Expected Spot Rates and Premia
Title | Forward Exchange Rates, Expected Spot Rates and Premia PDF eBook |
Author | |
Publisher | |
Pages | 28 |
Release | 1985 |
Genre | |
ISBN |
The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates
Title | The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates PDF eBook |
Author | Richard H. Clarida |
Publisher | |
Pages | 46 |
Release | 1993 |
Genre | Economics |
ISBN |
The Pricing of Forward Exchange Rates
Title | The Pricing of Forward Exchange Rates PDF eBook |
Author | Ross Levine |
Publisher | |
Pages | 50 |
Release | 1987 |
Genre | Foreign exchange |
ISBN |
Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market
Title | Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market PDF eBook |
Author | Alberto Giovannini |
Publisher | |
Pages | 40 |
Release | 1986 |
Genre | Capital assets pricing model |
ISBN |
The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates
Title | The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates PDF eBook |
Author | Richard Clarida |
Publisher | |
Pages | 35 |
Release | 2010 |
Genre | |
ISBN |
We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error correction model; that there exists exactly the number of cointegrating relationships predicted by a simple theoretical framework and that a basis for this cointegrating space is the vector of forward premia. Dynamic forecasts indicate that the information in the forward premia can be used to reduce the root mean squared forecast error for the spot rate (relative to a random walk forecast) by at least 33 percent at a 6-month horizon and by some 50 to 90 percent at a 1year horizon.