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 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 InfoPaper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2008_02.
Date of creation: Feb 2008
Date of revision: Feb 2008
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Web page: http://www.uom.gr/index.php?tmima=3
Euro; Forward Exchange Rate; Arbitrage; Speculation; Co-integration;
Other versions of this item:
- Costas Karfakis, 2008. "What determines the forward exchange rate of the euro?," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 4(2), pages 127-131.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-CBA-2008-02-09 (Central Banking)
- NEP-EEC-2008-02-09 (European Economics)
- NEP-IFN-2008-02-09 (International Finance)
- NEP-MON-2008-02-09 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- 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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