Download or read book Forecasting Accuracy of Forward Exchange Rates and the Efficiency of the Market for Foreign Exchange written by Erdogan Bilik and published by . This book was released on 1982 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyses the following three interrelated issues within an efficient market context. 1. Comparative forecasting accuracy of forward exchange-rates vis-a-vis the spot rate predictions marketed by a number of foreign-exchange forecasting services. 2. The existence of "premiums" imbedded in forward exchange-rates. 2. The existence of "premiums" imbedded in forward exchange-rates. 3. Excess profit opportunities in speculative trading strategies on currency futures contracts based on the "trading-signals" marketed by another group of foreign-exchange forecasting services. Track records of twelve future spot exchange-rate forecasting services and four technical exchange rate trend analyzing services are used to compare their predictive performances with that of forward exchange rates and with currency futures contracts. Seven major currencies vis-a-vis the U.S. Dollar are examined during a period of seven years, from 1974 through 1980. The study reveals the following. 1. Foreign-exchange forecasting services in general do not provide more accurate point estimates of the future spot rates than those provided by the forward rates. 2. Both forward rates and forecasts marketed by those services are found to be biased predictors of the future spot rates implying the existence of "premiums" both in forward rates and in those predictions. The premiums are found to be consistently and significantly positive during the study period. This important finding kelps to eliminate ouch of the ambiguity pertaining to the issue of "forward rate bias" in foreign-exchange literature. 3. The statistical analyses used in the study do not provide support for rejecting the notion of inefficiency in the market for foreign-exchange. Although the findings regarding the market efficiency may be due to the inappropriateness of the market model which was jointly tested with the null hypothesis of "efficiency", they may remain valid until either better statistical techniques or more appropriate equilibrium models are developed.

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 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.

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.

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.

Download or read book FORECASTING FOREIGN EXCHANGE RATES A PEDAGOGICAL NOTE written by Gunter Dufey and published by . This book was released on 1981 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

Download or read book The International Money Market written by Richard M. Levich and published by . This book was released on 1979 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analyzing the Accuracy of Foreign Exchange Advisory Services written by Richard M. Levich and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the introduction of floating exchange rates, the variability of unanticipated exchange rate changes has increased dramatically. A small forecasting industry has developed to provide information about future exchange rates. From an academic viewpoint, it is of interest to examine some of the statistical properties of these forecasts and to relate the forecast errors to other fundamental economic variables in a model with rational behavior. Second, from a more practical viewpoint, we would like to know if foreign exchange forecasts are useful to decision makers. The purpose of this paper is to provide an objective analysis which addresses some of the above questions for a large sample of forecasts. On the basis of the current research, we can draw several conclusions. First, most advisory service forecasts are not as accurate as the forward rate in terms of mean squared error. Second, judgmental forecasters are superior to econometric forecasters for short-term forecasts; the relationship is reversed for longer-term forecasts (one year). Third, two statistical tests indicate that the fraction of "correct" forecasts is significantly larger than what would be expected if the advisory services were only guessing at the direction of the future spot rate. In this sense, the forecast services appear to demonstrate expertise and usefulness. However, a full analysis of the risk-return opportunities available to advisory service users is still incomplete. It should be cautioned that if the forward rate contains a risk premium, then we expect advisory service models to beat the forward rate according to the tests we have outlined. In this case we must measure speculative returns relative to a risk measure. While advisory service forecasts may lead to profits, they may not be unusual after adjusting for risk.

Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.

Download or read book Exchange Rate Efficiency and the Behavior of International Asset Markets Routledge Revivals written by Kathryn Dominguez and published by Routledge. This book was released on 2014-10-20 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.

Download or read book An Empirical Analysis of Foreign Exchange Rates Under Efficient Market Hypothesis written by Akihiro Miyamoto and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Expectations and Tests of Efficiency in the Yen dollar Forward Foreign Exchange Rate Market written by Graham Elliott and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate directly potential profits of individual forecasters based on a natural trading rule. We find that although the survey data are not the best predictor of future spot rate in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits are small and highly variable. We also examine profits generated by a trading rule using regression forecasts, where forward premium is an explanatory variable. These profits are also small and highly variable.

Download or read book The Economics of Exchange Rates Collected Works of Harry Johnson written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: The studies in this book deal with the determination of foreign exchange rates and the characteristics of the foreign exchange market. Analysis is made of flexible exchange rates through an approach developed by the authors, called the ‘asset-market approach’. Theory is combined with practical application in a clear concise way that will be understood by readers with a basic understanding of economics.

Download or read book On the Efficiency of Forward Foreign Exchange Market written by Bagher Modjtahedi and published by . This book was released on 1984 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Exchange Rate Environment written by Simon Brooks and published by Routledge. This book was released on 2017-04-21 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1986. This helpful text sets out what appears to make exchange rates change and shows how these various factors contribute to an explanation of the past. It considers the problems of providing satisfactory forecasts of the exchange rate while presenting the methods used, outlining their drawbacks and speculating on future ways forward. Laid out to move from empirical issues to theory and on to policy, this book is easily of use to those interested in macroeconomics, applied economics and international economics as well as economic history.

Download or read book The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates written by Richard H. Clarida and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting the exchange rate of currencies A panel data approach written by Sajjad Hossine Sharif and published by GRIN Verlag. This book was released on 2017-01-16 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2015 in the subject Business economics - Investment and Finance, grade: A, , course: International Financial Management, language: English, abstract: The exchange rate on a daily basis is an indispensable factor in the foreign exchange market as well as in international trade. Many traders make a profit based on the pip in the foreign exchange market. Moreover, inflation and deflation of a currency against another currency is the root of making a profit in the foreign exchange market. Even in the international trade many individual traders and multi-national corporations always carefully observes the fluctuation of the exchange rate in order to determine the exchange rate efficiently and accurately. Because the more accurate the forecasted exchange rate is, the higher the chance becomes to make a profit only by investing a little amount of money in the foreign exchange market. The exchange rate has also significant impact on the export, import, foreign direct investment etc. This paper pursues the goal to explain how an individual or an organization can formulate future exchange rate of any currency in an efficient and time effective way. To meet this demand, this paper utilizes the help of panel data and a regression model. As a sample, this paper considers USD/BDT for a forecast. It must be noted that, with different panel data of different currencies, the method will remain same if anyone wants to forecast exchange rates of different currencies.