search query: @indexterm EXCHANGE RATES / total: 1242
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| Author: | Chu, T.-H. Swidler, S. |
| Title: | Forecasting emerging market exchange rates from foreign equity options |
| Journal: | Journal of Financial Research
2002 : FALL, VOL. 25:3, p. 353-366 |
| Index terms: | Emerging markets Exchange rates Stock markets Options |
| Language: | eng |
| Abstract: | The use of dirivatives to infer future exchange rates has long been a subject of interest in the international finance literature. With the recnt currency crises in Mexico, Southeast Asia, and Brazil, work on exchange rate expectations in emerging markets is of particular interest. To illustrate the use of foreign equity options in estimating market beliefs, the authros consider Telmex options around the 1994 oeso devaluation and find evidence that markets anticipated the change in the Mexican government's foreign exchange policy. |
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