Spot rates, forward rates and exchange market efficiency

Cornell, Bradford

doi:10.1016/0304-405x(77)90029-0

“…It was Muth (1961) who developed the econometric version of the Rational Expectations Hypothesis. Following his work, numerous studies have been conducted to test the unbiasedness of the forward exchange rate as a predictor of the spot exchange rate in the future; for example, Cornell (1977), Geweke and Feige (1979), Hansen and Hodrick (1980), Longworth (1981), and Frenkel (1981). There also exist empirical studies for commodities, including those of Goss (1983), and Pieroni and Riociarelli (2005).…”

Section: Examination Of Alternative Predictors Of Spot Pricesmentioning

confidence: 99%

Revisiting uncertainty and price forecast indicators in corn and wheat markets

Pedro¹

2015

J. Agric. Ext. Rural Dev

0

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The purpose of this paper is twofold: First, we look at the fundamentals of spot prices of corn and wheat and analyse several measures of dispersion, arguing that the use of the standard deviation of prices is more instructive for regulators and world food organisations than volatility, that is, standard deviation of returns. Second, we look at alternative predictors of corn and wheat spot prices and exhibit that the average value of the forward curve introduced by Borovkova and Geman (2006) performs better than individual forward prices to forecast spot prices at future dates.

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“…From an econometric standpoint, Cornell (1977), Frankel (1980, Chiang andJiang (1995), andZhou (1996) examine whether the current spot, the forward rate or the futures price can be used as an unbiased predictor of the spot rate itself at some future date. From the same point of view, it is possible to use the recent time series tools of cointegration, ARCH and GARCH techniques to detect possible market inefficiencies.…”

Section: Review Of the Literaturementioning

confidence: 99%

Multi-Fractality in Foreign Currency Markets

Corazza¹,

Malliaris²

2005

Economic Uncertainty, Instabilities and Asset Bubbles

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Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Lévy stable (PLs) distributed, whereas others have asserted that asset returns may be identically -but not independently -fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen.

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“…From an econometric standpoint, Cornell (1977), Frankel (1980, Chiang andJiang (1995), andZhou (1996) examine whether the current spot, the forward rate or the futures price can be used as an unbiased predictor of the spot rate itself at some future date. From the same point of view, it is possible to use the recent time series tools of cointegration, ARCH and GARCH techniques to detect possible market inefficiencies.…”

Section: Review Of the Literaturementioning

confidence: 99%

Multi-Fractality in Foreign Currency Markets

Corazza¹,

Malliaris²

2002

MFJ

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Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Lévy stable (PLs) distributed, whereas others have asserted that asset returns may be identically -but not independently -fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen.

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Spot rates, forward rates and exchange market efficiency

Cited by 171 publications

References 8 publications

Revisiting uncertainty and price forecast indicators in corn and wheat markets

Revisiting uncertainty and price forecast indicators in corn and wheat markets

Multi-Fractality in Foreign Currency Markets

Multi-Fractality in Foreign Currency Markets

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