"Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models"
Exchange Rates and International Macroeconomics
© University of Chicago Press,
1983
Pages: 113-152
Publication type: Chapter
Research Archive Topic: Business Economics and Public Policy, Corporate Finance, World Business
Abstract
In this paper we study the determination of forward foreign exchange rates. An exchange rate is the price of one currency in terms of another currency, and a forward rate is a contractual exchange rate established at a point in time for a transaction that will take place at the maturity date on the contract in the future. Well-organized forward markets exist for all major currencies of the world for various maturities, with the most active contract lengths being one, three, six, and twelve months.
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