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Expectations And The Forward Exchange Rate
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Book Synopsis Expectations and the Forward Exchange Rate by : Craig S. Hakkio
Download or read book Expectations and the Forward Exchange Rate written by Craig S. Hakkio and published by . This book was released on 1980 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical examination of the hypothesis that the forward exchange rate provides an "optimal" forecast of the future spot ex-change rate, for five currencies relative to the dollar. This hypothesis provides a convenient norm for examining the erratic behavior of exchange rates; this erratic behavior represents an efficient market that is quickly incorporating new information into the current exchange rate. This hypothesis is analyzed using two distinct, but related, approaches. The first approach is based on a regression of spot rates on lagged forward rates. When using weekly data and a one month forward exchange rate, ordinary least squares regression analysis of market efficiency is incorrect. Econometric methods are proposed which allow for consistent (though not fully efficient) estimation of the parameters and their standard errors. This paper also presents a new approach for testing exchange market efficiency. This approach is based on a general time series process generating the spot and forward exchange rate. The hypothesis of efficiency implies a set of cross-equation restrictions imposed on the parameters of the time series model. This paper derives these restrictions, proposes a maximum likelihood method of estimating the constrained likelihood function, estimates the model and tests the validity of the restrictions with a likelihood ration statistic
Book Synopsis Expectations and the Foreign Exchange Market by : Craig Hakkio
Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Book Synopsis Realignment Expectations, Forward Rate Bias, and Sterilized Intervention in an Adjustable Peg Exchange Rate Model with Policy Optimization by : Mr.Peter Isard
Download or read book Realignment Expectations, Forward Rate Bias, and Sterilized Intervention in an Adjustable Peg Exchange Rate Model with Policy Optimization written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1994-02-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper models an adjustable peg exchange rate arrangement as a policy rule with an escape clause under which the timing and magnitudes of realignments are the outcomes of policy optimization decisions. Under the assumptions that market participants are rational, risk averse, and fully informed about the incentives of policymakers, the analysis focuses on the implications for relating realignment expectations to the state variables that enter the policy objective function, for modeling the bias in using forward exchange rates to predict future spot rates, and for characterizing the effectiveness of sterilized intervention.
Book Synopsis The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate by : Stuart Landon
Download or read book The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate written by Stuart Landon and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in many empirical studies. The rejection of this hypothesis could occur because market behavior is inconsistent with rational-expectations or because there exists a risk premium. Equations describing the forward premium and the change in the exchange rate are estimated jointly, and tests of both the rational-expectations and no-risk-premium hypotheses are conducted. Empirical estimates, obtained using quarterly data for the yen-dollar exchange rate, reject the rational-expectations hypothesis and suggest that there exists a time-varying risk premium.
Book Synopsis The Forward Exchange Rate for Sterling and the Efficiency of Expectations by : Paul Ormerod
Download or read book The Forward Exchange Rate for Sterling and the Efficiency of Expectations written by Paul Ormerod and published by . This book was released on 1981* with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Forecasting: Techniques and Applications by : I. Moosa
Download or read book Exchange Rate Forecasting: Techniques and Applications written by I. Moosa and published by Springer. This book was released on 2016-02-05 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting exchange rates is a variable that preoccupies economists, businesses and governments, being more critical to more people than any other variable. In Exchange Rate Forecasting the author sets out to provide a concise survey of the techniques of forecasting - bringing together the various forecasting methods and applying them to the exchange rate in a highly accessible and readable manner. Highly practical in approach, the book provides an understanding of the techniques of forecasting with an emphasis on its applications and use in business decision-making, such as hedging, speculation, investment, financing and capital budgeting. In addition, the author also considers recent developments in the field, notably neural networks and chaos, again, with easy-to-understand explanations of these "rocket science" areas. The practical approach to forecasting is also reflected in the number of examples that pepper the text, whilst descriptions of some of the software packages that are used in practice to generate forecasts are also provided.
Book Synopsis Forward Exchange Rates as Estimates of Exchange Rate Expectations by : Don E. Roper
Download or read book Forward Exchange Rates as Estimates of Exchange Rate Expectations written by Don E. Roper and published by . This book was released on 1972 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate by : Stuart Landon
Download or read book The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate written by Stuart Landon and published by . This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by : R. Hodrick
Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.
Book Synopsis Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones by : Marianne Nessén
Download or read book Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones written by Marianne Nessén and published by . This book was released on 1994 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Forward Exchange Rate Bias by : Ross Levine
Download or read book The Forward Exchange Rate Bias written by Ross Levine and published by . This book was released on 1988 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forward Exchange Rates as Estimates of Exchange Rate Expectations by : Alex X. Lang
Download or read book Forward Exchange Rates as Estimates of Exchange Rate Expectations written by Alex X. Lang and published by . This book was released on 1971 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Monetary Approach to the Exchange Rate by : Mr.Mark P. Taylor
Download or read book The Monetary Approach to the Exchange Rate written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1992-05-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.
Book Synopsis Forward Foreign Exchange Rates and Expected Future Spot Rates by : Christiaan Cornelis Petrus Wolff
Download or read book Forward Foreign Exchange Rates and Expected Future Spot Rates written by Christiaan Cornelis Petrus Wolff and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Econometric Study of Exchange Rate Expectations and the Forward Rate of Exchange by : Stephen J. Sheehy
Download or read book An Econometric Study of Exchange Rate Expectations and the Forward Rate of Exchange written by Stephen J. Sheehy and published by . This book was released on 1981 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Pricing of Forward Exchange Rates by : Ross Levine
Download or read book The Pricing of Forward Exchange Rates written by Ross Levine and published by . This book was released on 1987 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Expectations by : International Monetary Fund
Download or read book Exchange Rate Expectations written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-06-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend to move away from some long-run “normal” values, long-run expectations tend to regress toward them. If this nature of short-run expectations increases the volatility of exchange rate movements, there may be a basis for some official measure to minimize short-run exchange rate movements.
