| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP773 |
| DP773 The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors | |
| Mark Taylor; Richard Clarida | |
| 发表日期 | 1993-06-30 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | This paper challenges the widespread view that forward exchange premia contain little information regarding subsequent spot rate movements. Using weekly dollar/Deutschmark and dollar/sterling data, we show that spot and forward exchange rates are well represented by a vector error correction model and that the vector of forward premia form a basis for the cointegrating space. Dynamic forecasts indicate that the information in the forward premia can be used to reduce the root mean squared forecast error for the spot rate (relative to a random walk forecast) by at least 33% at a six-month horizon and by between 50% and 90% at a one-year horizon. |
| 主题 | International Macroeconomics |
| 关键词 | Cointegration Efficiency Forecasting Forward exchange rate Information Spot exchange rate |
| URL | https://cepr.org/publications/dp773 |
| 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/529942 |
| 推荐引用方式 GB/T 7714 | Mark Taylor,Richard Clarida. DP773 The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors. 1993. |
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