Predicting exchange rates via a futures market
Ładowanie...
Data
2006
Autorzy
Tytuł czasopisma
ISSN czasopisma
Tytuł tomu
Wydawca
Abstrakt
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.
Opis
Słowa kluczowe
exchange rate determination, euro zone, ERM II, futures market
Cytowanie
Capinski, Marek and Patena, Wiktor, Predicting Exchange Rates via a Futures Market (September 25, 2006). Available at SSRN: http://ssrn.com/abstract=932518 or http://dx.doi.org/10.2139/ssrn.932518