Showing papers on "Forward exchange rate published in 2020"
TL;DR: In this article, it is no longer universally accepted that the forward exchange rate is an accurate, unbiased, and efficient forecaster of the spot exchange rate, thanks mainly to the work of Post Keynesian economists.
Abstract: Thanks mainly to the work of Post Keynesian economists, it is no longer universally accepted that the forward exchange rate is an accurate, unbiased and efficient forecaster of the spot exchange ra...
3 citations
DOI•
29 Dec 2020
TL;DR: In this paper, the authors used regression models for the forecasting method of the spot rate, forward rate, and future spot, and the regression model was tested using the classical assumption test using two quarters, that is quarter I to quarter II of 2019.
Abstract: The purpose of this research are to determine the movement of the spot rate on the future spot, the movement of the forward rate on the future spot, the movement of the spot rate and the forward rate on the future spot. This research uses two quarters, that is quarter I to quarter II of 2019. This research uses regression models for the forecasting method. The variables are the spot rate, forward rate, and future spot. Samples were obtained from BI. The regression model was tested using the classical assumption test. The results of the data analysis show that the spot rate has a significant movement on the future spot, this is evidenced by the regression coefficient value of -2.9938 and a probability value of 0.0042. The forward exchange rate also shows the results of significant movements on the future spot, as evidenced by the regression coefficient value of -2.9581 and a probability value of 0.0046. The spot rate and forward rate together have an effect on the future spot, as evidenced by the results of statistical analysis with an F-Statistical value of 5.5895 and an F-Statistical probability value of 0.0063.
2 citations
TL;DR: In this article, the authors presented a new model which approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate.
Abstract: This paper presents unprecedented exchange rate forecasting results based upon a new model which approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting equation is consistent with the monetary model of exchange rates. Our model outperforms the random walk in out-of-sample forecasting of twelve major currency pairs in both short and long horizons forecasts for the 1990-2020 period. The results are robust for all sub-periods with the exception of years around the collapse of Lehman Brothers in September 2008. Our results are robust to alternative model specifications, single equation and panel estimation, recursive and rolling estimation, and alternate data construction methods. The model performs better when the long-maturity forward exchange rate is assumed to be stationary as opposed to assuming non-stationarity. The improvement in forecast accuracy of our model is economically and statistically significant for almost all exchange rate series. The model is simple, linear, easy to replicate, and the data we use are available in real time and not subject to revisions.
2 citations
TL;DR: This paper used a double exponential smoothing model to predict the forward exchange rate for US dollar to Canadian dollar and found prediction accuracy when running the model to the time series of the exchange rate.
Abstract: This paper shows how prediction accuracy for forward exchange rate negotiated for a forward contract can be a major reason to help entities avoid the risk of loss and understating or overstating income and financial position. I used a double exponential smoothing model to predict the forward exchange rate for US dollar to Canadian dollar. I find prediction accuracy when running the model to the time series of the exchange rate.