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| Author: | Park, D. Rhee, C. |
| Title: | Measuring the degree of currency misalignment using offshore forward exchange rates: the case of the Korean financial crisis |
| Journal: | Journal of asset management
2001 : JUN, VOL. 2:1, p. 84-95 |
| Index terms: | CURRENCY EXCHANGE RATES FINANCIAL CRISES KOREA, SOUTH |
| Language: | eng |
| Abstract: | This paper proposes a new method of measuring the degree of currency misalignment through the use of offshore forward exchange rates. Using default risk-adjusted no-arbitage conditions for forward exchange contracts, the authors calculate the spot exchange rates and the domestic interest rates that are implied from the observed forward exchange rates. The difference between the implied and the observed spot exchange rates is their measure of currency misalignment. |
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