The Joint Dynamics of Spot and Forward Exchange Rates

One and three-month forward exchange rates for the deustche mark, french franc, sterling pound, yen and peseta, relative to the US dollar, seem to be cointegrated with future spot rates, but not with current exchange rates. We confirm the unbiasedness hypothesis for this data set, as a robust cointegrating relation between forward and future spot rates, although forward rates are poor predictors of future exchange rates.

MoreLess

Year of publication:	1997
Authors:	Castro, Francisco de ; Novales, Alfonso
Institutions:	Banco de España
Subject:	EXCHANGE RATE \| COINTEGRATION

More details

Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	43 pages
Classification:	F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005155231