Predicting exchange rates via a futures market

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dc.contributor.authorCapiƄski, Marek
dc.contributor.authorPatena, Wiktor
dc.date.accessioned2013-07-09T09:53:41Z
dc.date.available2013-07-09T09:53:41Z
dc.date.issued2006
dc.description.abstractPredicting 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.identifier.citationCapinski, 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.932518pl
dc.identifier.urihttp://hdl.handle.net/11199/316
dc.language.isoenpl
dc.rightsopen access
dc.subjectexchange rate determinationpl
dc.subjecteuro zonepl
dc.subjectERM IIpl
dc.subjectfutures marketpl
dc.titlePredicting exchange rates via a futures marketpl
dc.typearticlepl

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