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FOREX Rate Forecasting: Evidence from Post-Crisis Era

Author

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  • N. Sivakumar

    (Sri Sathya Sai Institute of Higher Learning, India)

Abstract

The global financial crisis of 2007 drastically changed the dynamics of forex rate forecasting. This paper studies whether forward rates and current spot rates act as predictors of future spot rates in the post global financial crisis era, using evidence from the Indian forex markets. The results indicate that forward rates do not act as unbiased predictors of future spot rates in the post global financial crisis era which is similar to results of pre-crisis period studies. Further, current spot rates predict future spot rates only with a lag of one day, beyond which they lose their predictive efficiency.

Suggested Citation

  • N. Sivakumar, 2013. "FOREX Rate Forecasting: Evidence from Post-Crisis Era," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 2(4), pages 291-299.
  • Handle: RePEc:ods:journl:v:2:y:2013:i:4:p:291-299
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    Cited by:

    1. Vishwas B. & N. Sivakumar, 2016. "Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 203-210, August.
    2. Sumit Ghosh & N. Sivakumar, 2015. "Beta Clustering of Impact of Crude-Oil Prices on the Indian Economy," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(1), pages 24-34.

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