Journal article
EMPIRICAL ANALYSIS ON THE PREDICTORS OF FUTURE SPOT RATES
The Journal of financial research, v 9(2), pp 153-162
1986
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the issue of the prediction of future spot rates by applying the seemingly unrelated regression technique to four major currencies using data from January 1974 to September 1982. The empirical evidence indicates that current spot rates provide a better prediction of future spot rates than do current forward rates. In further rolling subsample studies, the estimated coefficients for current forward rates (or spot rates) are found to be sensitive to the new information. An important implication of this paper is that since the estimated coefficients vary over time, the underlying pattern of the generated coefficients should be extrapolated and incorporated into the exchange rate predictions.
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Details
- Title
- EMPIRICAL ANALYSIS ON THE PREDICTORS OF FUTURE SPOT RATES
- Creators
- Thomas C. Chiang - Drexel University
- Publication Details
- The Journal of financial research, v 9(2), pp 153-162
- Publisher
- Wiley
- Number of pages
- 10
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:A1986C590900005
- Scopus ID
- 2-s2.0-84986431039
- Other Identifier
- 991019173749504721
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- Web of Science research areas
- Business, Finance