A Comparative Analysis of Forward and Futures Exchange Rates as Unbiased Predictors of Future Spot Rates
Date
2014-09-26
Authors
Contributor
Advisor
Department
Finance
Instructor
Depositor
Speaker
Researcher
Consultant
Interviewer
Narrator
Transcriber
Annotator
Journal Title
Journal ISSN
Volume Title
Publisher
University of Hawaii at Manoa
Volume
Number/Issue
Starting Page
Ending Page
Alternative Title
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.
Description
Keywords
Citation
Extent
96 pages
Format
Geographic Location
Time Period
Related To
Related To (URI)
Table of Contents
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.
Rights Holder
Local Contexts
Collections
Email libraryada-l@lists.hawaii.edu if you need this content in ADA-compliant format.