| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4442 |
| 来源ID | Working Paper 4442 |
| The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors | |
| Richard H. Clarida; Mark P. Taylor | |
| 发表日期 | 1993-08-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error correction model; that there exists exactly the number of cointegrating relationships predicted by a simple theoretical framework and that a basis for this cointegrating space is the vector of forward premia. 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 percent at a 6-month horizon and by some 50 to 90 percent at a 1year horizon. |
| 主题 | International Economics ; International Macroeconomics |
| URL | https://www.nber.org/papers/w4442 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561814 |
| 推荐引用方式 GB/T 7714 | Richard H. Clarida,Mark P. Taylor. The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4442.pdf（675KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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