What determines the forward exchange rate of the euro?
AbstractThis study examines the determinants of the forward exchange rate of the euro in the context of the 'modern approach' for give currency combinations. The co-integration analysis suggests that speculation has played a minor role and arbitrage played a major role in determining the forward exchange rate of the euro.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 4 (2008)
Issue (Month): 2 ()
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Other versions of this item:
- Costas Karfakis, 2008. "What Determines the Forward Exchange Rate of the Euro?," Discussion Paper Series 2008_02, Department of Economics, University of Macedonia, revised Feb 2008.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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- Phaup, E Dwight, 1981. "A Reinterpretation of the Modern Theory of Forward Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(4), pages 477-84, November.
- Asmara Jamaleh, 2002. "Explaining and forecasting the euro/dollar exchange rate through a non-linear threshold model," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 422-448.
- Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 480-501.
- Costas Karfakis, 2006. "Is there an empirical link between the dollar price of the euro and the monetary fundamentals?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 973-980.
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