haku: @author Levine, R. / yhteensä: 21
viite: 17 / 21
| Tekijä: | Levine, R. |
| Otsikko: | An empirical inquiry into the nature of the forward exchange rate bias |
| Lehti: | Journal of International Economics
1991 : MAY, VOL. 30:3-4, p. 359-369 |
| Asiasana: | EXCHANGE RATES ECONOMIC ANALYSIS INFORMATION BUSINESS INFORMATION CONTRACTS FORECASTING CAPITAL ASSET PRICING BIAS |
| Kieli: | eng |
| Tiivistelmä: | The question whether anticipated real exchange rate movements fully account for the systematic, time-varying discrepancies between forward and future spot exchange rates is addressed. The data do not reject this hypothesis. The results demonstrate that real exchange rate changes are predictable; anticipated real exchange rate changes are reflected in the forward bias; and information available at the signing of the forward contract is useless in forecasting differences between forward and future spot prices beyond the information's ability to predict real exchange rate changes. The results emphasize the importance of real exchange rates in international asset pricing. |
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