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Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information

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  • Peggy Swanson

Abstract

This study investigates whether or not new information affects the predictive capability of forward and spot foreign exchange rates symmetrically during periods of rising as opposed to falling currency values. Statistically significant different intercept and slope coefficients are found between the periods of U.S. dollar appreciation and U.S. dollar depreciation. Further, the predictive ability of the two models differs between opposite trends in foreign exchange values. Copyright Springer 1998

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  • Peggy Swanson, 1998. "Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 129-138, June.
    • Handle: RePEc:spr:jecfin:v:22:y:1998:i:2:p:129-138
    DOI: 10.1007/BF02771483
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