The paper focuses on the market equilibrium conditions in forward exchange quotes. By careful analysis of the market arbitrage conditions, market supply and demand, we construct the equilibrium ranges for bid and ask forward quotes separately. We present our analysis in a bid-ask cost structure...

The Forward Premium Puzzle is one of the most prominent empirical anomalies in international finance. The forward premium predicts exchange rate depreciation but typically with the opposite sign and smaller magnitude than specified by rational expectations, a result also considered to indicate...

This paper examines the efficiency of the forward yan/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...

This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...

The note shows that there is a non-negligible bias in using the futures rates as a proxy for the instantaneous forward rates in the estimation of forward rate models. It is therefore desirable to derive the evolution of observable rates, then use the distributional properties of this evolution...

The optimum behavior of a competitive risk-averse international trader who supplies or demands commodities invoiced in foreign currency is examined when his profits are subject to several forms of risk: production, domestic cost, the exchange rate and the commodity price. The focus of our study...

This paper examines the Post Keynesian proposition that the forward rate is determined by covered interest parity and that it is not a predictor of the future spot rate, as suggested by the unbiased efficiency hypothesis. One implication of the failure of unbiased efficiency is that it leads to...

In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent...