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What Determines the Forward Exchange Rate of the Euro?

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Author Info
Costas Karfakis () (Department of Economics, University of Macedonia)

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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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File URL: http://econlab.uom.gr/~econwp/pdf/wp0802.pdf
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Publisher 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://econlab.uom.gr/econdep/
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Related research
Keywords: Euro Forward Exchange Rate Arbitrage Speculation Co-integration

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation

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References listed on IDEAS
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  1. Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 480-501, December. [Downloadable!] (restricted)
  2. McCallum, Bennett T, 1977. "The Role of Speculation in the Canadian Forward Exchange Market: Some Estimates Assuming Rational Expectations," The Review of Economics and Statistics, MIT Press, vol. 59(2), pages 145-51, May. [Downloadable!] (restricted)
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This page was last updated on 2008-7-21.

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