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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors

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...

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Bibliographic Details
Authors and Corporations: Clarida, Richard (Author), Taylor, Mark P. (Other)
Other Authors: Taylor, Mark P.
Type of Resource: E-Book
Language: Undetermined
published:
[S.l.] SSRN [2010]
Series: NBER Working Paper
Source: Verbunddaten SWB
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