Showing papers on "Spot contract published in 1976"
TL;DR: In this paper, the authors find formulas for the values of forward contracts and commodity options in terms of the futures price and other variables, using assumptions like those used in deriving the original option formula.
2,855 citations
TL;DR: In this article, the forward rates of interest that are implicit in Treasury Bill prices contain assessments of expected future spot rates, which are about as good as those that can be obtained from the information in past spot rates.
246 citations
TL;DR: In this article, a theoretical equilibrium state of the world exists in the absence of capital controls and trade barriers when prices for the same goods in different markets are equal, after translation at the spot exchange rate.
Abstract: This brief paper will show that (a) a theoretical equilibrium state of the world exists in the absence of capital controls and trade barriers when prices for the same goods in different markets are equal, after translation at the spot exchange rate; (b) differences in rates of aggregate price change in different markets eventually cause offsetting exchange rate changes which restore condition (a); (c) returns on equivalent securities denominated in different currencies but covered in the forward market are almost instantaneously equalized; (d) the market's expected rate of change of the exchange rate equals, to a close approximation, the control-free interest rate differential between the two currencies; (e) in the absence of predictable exchange market intervention by central banks, the interest rate differential is the best possible forecaster of the future spot rate; and (f) the forward rate also provides the best forecast of the future spot rate. A final corollary identifies a relationship between inflation rates and international interest rate differentials.
44 citations
TL;DR: In this article, an analysis has been made of the influences of the dual exchange rate system on short-term capital movements and the balance of payments and several doubts about the feasibility of an effectively operating dual rate system are examined.
Abstract: In this article an analysis has been made of the influences of the dual exchange rate system on short-term capital movements and the balance of payments. An effort has been made to connect the till now separate theories of the dual exchange rate system and the short-term capital movements. In the analysis the role of the forward exchange market has been explicitly taken into account. Several doubts as expressed in literature about the feasibility of an effectively operating dual rate system are examined. Some conclusions are drawn about the probable resultant of the forces which affect the size of the premium of the financial spot rate with respect to the commercial spot rate.