Floating exchange rates, expectations and new information
AbstractThis paper analyzes the relationship between forward exchange rates,future spot rates and new information. A stochastic model of exchangerate determination is used to formally show how unanticipated changes in the exchange rate determinants (or "news") affect the spot rate. The empirical analysis indicates that "new information" plays an important role in explaining the market forecasting error, or difference between the spot rate and the forward rate, determined in the previous period.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Monetary Economics.
Volume (Year): 11 (1983)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/505566
Other versions of this item:
- Sebastian Edwards, 1984. "Floating Exchange Rates, Expectations and New Information," NBER Working Papers 1064, National Bureau of Economic Research, Inc.
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