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An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry

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  • Simpson, Marc W.
  • Grossmann, Axel

Abstract

Using a panel data approach, we find statistically significant evidence that bid-ask spreads and deviations from purchasing power parity (PPP) are related to the forward prediction error of ten major U.S. dollar exchange rates over the post Plaza Accord period. Previous literature suggests that bid-ask spreads proxy for liquidity risk and deviations from PPP are a source of time-varying risk premiums. Additionally, the paper provides evidence that the forward discount bias is asymmetric with respect to the sign of the forward premium as well as to an undervalued and overvalued U.S. dollar.

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  • Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
    • Handle: RePEc:eee:ecofin:v:28:y:2014:i:c:p:221-238
    DOI: 10.1016/j.najef.2014.04.001
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    8. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

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    Keywords

    Forward prediction error; Liquidity risk; Deviations from PPP;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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