Predicting exchange rates via a futures market

WSB-NLU Repository

Show simple item record Capiński, Marek Patena, Wiktor 2013-07-09T09:53:41Z 2013-07-09T09:53:41Z 2006
dc.identifier.citation Capinski, Marek and Patena, Wiktor, Predicting Exchange Rates via a Futures Market (September 25, 2006). Available at SSRN: or pl
dc.description.abstract Predicting future spot exchange rates has always been useful for companies trading internationally. Now finding future exchange rates is essential for countries that are to join common currency zones (Eurosystem) and need to set reference rates for the ERM II. This paper presents a model that attempts to determine exchange rates and, unlike others, is based on an analysis of the futures market. The model is based on the assumption that the futures market is dominated by two categories of traders: arbitrageurs and fundamental traders. The divergence of the futures rate from its theoretical value is gauged and then considered to be an indication of the direction and strength of the two forces in the market. The arbitrageurs' influence is filtered out and thus the model outputs the rate based on the fundamental traders' expectations. pl
dc.language.iso en pl
dc.rights open access
dc.subject exchange rate determination pl
dc.subject euro zone pl
dc.subject ERM II pl
dc.subject futures market pl
dc.title Predicting exchange rates via a futures market pl
dc.type article pl

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search WSB-NLU Repository

Advanced Search


My Account