The information content of risk premium in predicting the future spot rate
β Scribed by Thomas C. Chiang; Thomas J. Hindelang
- Book ID
- 112729183
- Publisher
- Springer US
- Year
- 1987
- Tongue
- English
- Weight
- 81 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0197-4254
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We use the Phillips and Hansen (1990) modified procedure to estimate the cointegrating vector between F t , the forward exchange rate, and S t1 , the appropriate spot rate. We find that the coefficient b, from the equation, S t1 a bF t e t1 to be very close to, but significantly different from, 1 (a
More specifically, futures prices may influence storage and inventory decisions and may exact an important influence on production decisions. This is their price discovery function. Futures markets are seen as an efficient collector, processor, and disseminator of information. 'The large number of