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“Is the forward exchange rate the most essential forecaster of the future spot exchange rate?” USD vis-à-vis SEK & NZD 2004 - 2005
Dalarna University, School of Technology and Business Studies, Economics.
2006 (English)Independent thesis Basic level (degree of Bachelor)Student thesis
Abstract [en]

This paper will examine the empirical power of the forward exchange rate as the ultimate predictor of future spot exchange rate. The paper intend to illustrate this process of focusting future spot rate using three exchange rate models the 1. Unbiased forward rate estimator, 2. Random walk and 3. Weighted average. The paper will analyse the period between January 2004 and January 2005 for the United States dollar vis-à-vis Swedish kronor and New Zealand dollar using daily, three months, Six months and twelve months intervals. The paper will also consider three months as the short run period and the period of six months - twelve months as the long run period for the whole period under examination. The aim of this paper is to study the predicting power of the three empirical exchange rate models using United States dollar vis-à-vis Swedish kronor and the New Zealand dollar and compare their performance. Since there is no general agreement as to which model is the best estimator of future spot exhange rates. The paper will analyse which model is better predictor of future spot exchange rate over the different time periods of three months, six months and twelve months in two markets.

Place, publisher, year, edition, pages
2006.
Keywords [en]
Foreign Exchange, Exchange rates
Identifiers
URN: urn:nbn:se:du-2962OAI: oai:dalea.du.se:2962DiVA, id: diva2:518307
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2007-10-22 Created: 2007-10-22 Last updated: 2012-04-24Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • chicago-author-date
  • chicago-note-bibliography
  • Other style
More styles
Language
  • de-DE
  • en-GB
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
  • text
  • asciidoc
  • rtf