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The Joint Dynamics of Spot and Forward Exchange Rates

Francisco de Castro Fernández () and Alfonso Novales ()

Working Papers from Banco de España, Working Papers Homepage

Abstract: One and three-month forward exchange rates for the deustche mark, french franc, sterling pound, yen and peseta, relative to the US dollar, seem to be cointegrated with future spot rates, but not with current exchange rates. We confirm the unbiasedness hypothesis for this data set, as a robust cointegrating relation between forward and future spot rates, although forward rates are poor predictors of future exchange rates.

Keywords: EXCHANGE RATE; COINTEGRATION (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Pages: 43 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9715

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