FOREX Rate Forecasting: Evidence from Post-Crisis Era

N. Sivakumar
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N. Sivakumar: Sri Sathya Sai Institute of Higher Learning, India

Journal of Applied Management and Investments, 2013, vol. 2, issue 4, 291-299

Abstract: The global financial crisis of 2007 drastically changed the dynamics of forex rate forecasting. This paper studies whether forward rates and current spot rates act as predictors of future spot rates in the post global financial crisis era, using evidence from the Indian forex markets. The results indicate that forward rates do not act as unbiased predictors of future spot rates in the post global financial crisis era which is similar to results of pre-crisis period studies. Further, current spot rates predict future spot rates only with a lag of one day, beyond which they lose their predictive efficiency.

Keywords: post global financial crisis; Indian forex market; forward rates; unbiased predictors (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:2:y:2013:i:4:p:291-299

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