کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973337 1479786 2014 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry
ترجمه فارسی عنوان
بررسی خطای پیش بینی پیش بینی نرخ های ارز در ایالات متحده و نحوه ارتباط آنها با تقاضای تقاضا، عدم تعادل تقارن خرید و عدم تقارن حق بیمه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• Investigate the forward prediction anomaly of ten major bilateral U.S. dollar exchange rates.
• Provide evidence for a forward discount asymmetry with respect to the sign of the forward premium.
• Provide evidence for a forward discount asymmetry with respect to an undervalued and overvalued U.S. dollar.
• Bid-ask spreads and deviations from purchasing power parity (PPP) are related to the forward prediction error.

Using a panel data approach, we find statistically significant evidence that bid-ask spreads and deviations from purchasing power parity (PPP) are related to the forward prediction error of ten major U.S. dollar exchange rates over the post Plaza Accord period. Previous literature suggests that bid-ask spreads proxy for liquidity risk and deviations from PPP are a source of time-varying risk premiums. Additionally, the paper provides evidence that the forward discount bias is asymmetric with respect to the sign of the forward premium as well as to an undervalued and overvalued U.S. dollar.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 28, April 2014, Pages 221–238
نویسندگان
, ,