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Floating Exchange Rates, Expectations and New Information / Sebastian Edwards.
- Format:
- Book
- Author/Creator:
- Edwards, Sebastian.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1064.
- NBER working paper series no. w1064
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1983.
- Summary:
- This paper analyzes the relationship between forward exchange rates,future spot rates and new information. A stochastic model of exchangerate determination is used to formally show how unanticipated changes in the exchange rate determinants (or "news") affect the spot rate. The empirical analysis indicates that "new information" plays an important role in explaining the market forecasting error, or difference between the spot rate and the forward rate, determined in the previous period.
- Notes:
- Print version record
- 1983.
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