Application of the Interest Rate Parity, IRP, Between Two Currencies Euro/USD to Determine the Implied Currency Appreciation or Depreciation of an Interest Rate Forward Futures Contract

In this article, we apply interest rate parity, IRP, between two currencies EURO/USD to determine the implied currency appreciation or depreciation of an interest rate forward futures contract. Exchange rate risk is related to the appreciation or the depreciation of a currency relevant to another currency. Our results suggest that the exchange rate risk affects positively the implied currency appreciation or depreciation of an interest rate forward futures contract EURO/USD over the period 2000 to 2020