Please use this identifier to cite or link to this item:
A Comparative Analysis of Forward and Futures Exchange Rates as Unbiased Predictors of Future Spot Rates
|Title:||A Comparative Analysis of Forward and Futures Exchange Rates as Unbiased Predictors of Future Spot Rates|
|Issue Date:||26 Sep 2014|
|Publisher:||University of Hawaii at Manoa|
|Abstract:||While numerous articles report empirical evidence on the relationships between forward and spot foreign currency exchange markets, little work exists on the value of the future currency exchange market as a source of information on future spot rates. Both forward and futures markets are used to reduce risk in foreign currency holdings; however, structural differences between the future and forward currency markets may result in their differing in forecasting performance. This paper compares the institutional and structural differences between both markets. In addition, the effectiveness of both markets in forecasting future spot rates is analyzed for four currencies. Results indicate that with some minor exceptions rates in the foreign currency futures and forward markets are on average unbiased forecasts of the future spot rates and exhibit lower degrees of forecast efficiency the longer the forecast horizon.|
|Rights:||All UHM Honors Projects are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission from the copyright owner.|
|Appears in Collections:||Honors Projects for Finance|
Please contact email@example.com if you need this content in an alternative format.
Items in ScholarSpace are protected by copyright, with all rights reserved, unless otherwise indicated.