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Keywords:Foreign exchange futures 

Working Paper
Why is the forward exchange rate forecast biased? A survey of recent evidence

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward premium. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums ...
Research Working Paper , Paper 95-06

Report
Interbank interest rates as term structure indicators

Interbank fixed income claims are a rich but neglected source of information on the term structure of interest rates and interest rate expectations. The first half of this paper describes the information content of two types of over-the-counter interest rate derivatives, forward rate agreements and interest rate swaps. Interbank interest rates and derivatives lend themselves well to a particular technique for fitting zero-coupon curves. The second half of this paper present this technique, along with some examples of how it can be used to gain insights into market views on interest rates and ...
Research Paper , Paper 9803

Working Paper
The forward exchange rate bias: a new explanation

Although the literature has devoted prodigious resources to investigating the risk premium explanation of the systematic time-varying discrepancies between forward and corresponding future spot exchange rates, empirical verification of the risk premium hypothesis has proven elusive. This paper tests an alternative explanation of the forward bias: the anticipated real exchange rate hypothesis. This hypothesis states that except for a constant risk premium, the predictable, time varying wedge between forward and expected future spot exchange rates is fully explained by the anticipated rate of ...
International Finance Discussion Papers , Paper 338

Report
Price discovery in the foreign currency futures and spot market

In this paper, we compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market. We develop a foreign exchange futures order flow measure that is a proxy for the order flow observed by Chicago Mercantile Exchange pit traders. We find that both foreign currency futures and spot order flow contain unique information relevant to exchange rate determination. When we measure contributions to price discovery using the methods of Hasbrouck and of Gonzalo and Granger, we obtain ...
Staff Reports , Paper 262

Working Paper
Misspecification bias in tests of the forward foreign exchange rate unbiasedness hypothesis

FRB Atlanta Working Paper , Paper 91-10

Working Paper
The pricing of forward exchange rates

This paper addresses the question: do risk premia account for the observed time-varying discrepancies between forward and corresponding future spot exchange rates? A simple theoretical framework is used to derive testable restrictions on the parameters of a multivariate regression model. Using various econometric procedures and different estimation periods, the data reject the restrictions. In contrast to past investigations, the empirical results are inconsistent with a world in which time-varying risk premia are the sole determinants of observed deviations from the unbiased expectations ...
International Finance Discussion Papers , Paper 312

Report
Exchange rate dynamics and speculator behavior

Research Paper , Paper 9222

Working Paper
The risk premium in the foreign exchange market

Research Working Paper , Paper 87-07

Working Paper
Market efficiency and cointegration

Research Working Paper , Paper 87-05

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