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What Determines the Forward Exchange Rate of the Euro?

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Abstract

This study examines the determinants of the forward exchange rate of the euro in the context of the “modern approach” for five 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 Info

Paper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2008_02.

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Date of creation: Feb 2008
Date of revision: Feb 2008
Handle: RePEc:mcd:mcddps:2008_02

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Web page: http://www.uom.gr/index.php?tmima=3

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Keywords: Euro; Forward Exchange Rate; Arbitrage; Speculation; Co-integration;

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  1. 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, Taylor & Francis Journals, vol. 8(4), pages 422-448.
  2. 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, Taylor & Francis Journals, vol. 8(4), pages 480-501.
  3. Phaup, E Dwight, 1981. "A Reinterpretation of the Modern Theory of Forward Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 13(4), pages 477-84, November.
  4. 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, Taylor & Francis Journals, vol. 16(13), pages 973-980.
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