| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP187 |
| DP187 Forward Exchange Rates and Expected Future Spot Rates | |
| Christian Wolff | |
| 发表日期 | 1987-05-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | In this paper I explore whether knowledge of the time-series properties of premia in the pricing of forward foreign exchange can be usefully exploited in forecasting future spot exchange rates. I use signal-extraction techniques, based on recursive application of the Kalman filter, to identify these premia. Predictions using premium models compare favourably with those obtained from the use of the forward rate as a predictor of the future spot rate. The results also provide an interesting description of the time-series properties of premia. This methodology can be applied straightforwardly to other financial markets, such as futures markets and markets for government debt instruments. |
| 关键词 | Exchange rates Forecasting Forward rates Kalman filter Premia Signal extraction Time series |
| URL | https://cepr.org/publications/dp187 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529337 |
| 推荐引用方式 GB/T 7714 | Christian Wolff. DP187 Forward Exchange Rates and Expected Future Spot Rates. 1987. |
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