scholarly journals An Adjusted Forward Curve for Spot Rate Forecasting

Economics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 1
Author(s):  
Camilo Sarmiento
Keyword(s):  
Spot Rate

Continuous Time Spot Rate Models with a Nonstationary Mean

2015 ◽  
Author(s):  
Haitham A. Al-Zoubi ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Continuous Time ◽  
Spot Rate

Carry Trade, Exchange Rates, and the Balance-of-Payments

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nelson H. Barbosa-Filho
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Exchange Rate ◽  
Foreign Debt ◽  
Balance Of Payments ◽  
Forward Rate ◽  
Spot Rate ◽  
Financial Constraint ◽  
Carry Trade ◽  
The Real

Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.

Does CDS Premium Most Predict Sovereign Default Risk?

2014 ◽  
Vol 22 (3) ◽  
pp. 495-530
Author(s):  
Ki Beom Binh ◽  
Seokjin Woo ◽  
Sang Min Lee
Keyword(s):  
Financial Crisis ◽  
Default Risk ◽  
Price Discovery ◽  
Sovereign Default ◽  
Spot Rate ◽  
Discovery Process ◽  
Dollar Spot ◽  
Sovereign Default Risk ◽  
Sovereign Credit Risk ◽  
Price Discovery Process

This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S. and Euro-zone, the interests in sovereign default risk have risen. Interests in CDS, an OTC credit derivative contract based on debt issuer’s default risk, also have increased. A large number of presses have reported that CDS premium would be the best international market indicator for the default risk taken or transferred. However, internationally the CDS market liquidity has not been sufficient enough to validate its properties. Hence, based on empirics, this paper discusses whether Korean sovereign CDS premium can be considered as an appropriate indicator of sovereign credit risk in the Korean economy. Other largely accepted indices which contain the similar information about Korean economic fundamental and Korean external sovereign credit risk are also analyzed and compared: the spread of Korean government debt, Won-Dollar Currency Swap Rate, and Won-Dollar FX rate. Our findings include: (a) in the price discovery process, Won-Dollar spot rate contributes to the price discovery especially most ‘during the financial crisis period’ and the ‘entire period’ (b) Within the period ‘after the financial crisis’, CDS premium and the other indices have mutual influences on the price discovery process higher than the period ‘before the financial crisis’ (c) while Won-Dollar forward rate shows the similar result with Won-Dollar spot rate, NDF rate and CDS premium make the largest mutual influence on price discovery in the period ‘before the financial crisis.’

The forward exchange rate and the prediction of the future spot rate

1981 ◽  
Vol 5 (3) ◽  
pp. 425-437 ◽  
Author(s):  
Tamir Agmon ◽  
Yakov Amihud
Keyword(s):  
Exchange Rate ◽  
Spot Rate ◽  
The Future

scholarly journals OFFSHORE AND ONSHORE IDR MARKET: AN EVIDENCE ON INFORMATION SPILLOVER

2012 ◽  
Vol 14 (4) ◽  
pp. 323-348
Author(s):  
Yayat Cadarajat ◽  
Alexander Lubis
Keyword(s):  
Exchange Rates ◽  
Information Transmission ◽  
Emerging Market ◽  
Spot Market ◽  
Forward Rate ◽  
Spot Rate ◽  
Currency Markets ◽  
Daily Data ◽  
Egarch Model ◽  
Information Spillover

This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011, this paper provide several empirical conclusions.-First, the persistent volatility in all IDR/USD currency markets is evident. Second, the leverage effects are present in the rupiah exchange rates, indicating that IDR/USD markets have responded more to depreciation than appreciation, which is generally common in emerging market currencies. Third, the evidence of mean spillover are observed to be uni-directional; from NDF to both spot and forward rupiah markets. However, there are two ways return transmission between NDF and forward rate changes in the period of Europe crisis. Fourth, on the volatility, the spillover is only significant from NDF market to spot market for the entire period. However, in the time of crises, there is interdependence between volatility in offshore NDF and onshore spot rate changes, while information transmission is only valid from NDF to forward rate changes, not the other way around. Fifth, the negative spread of domestic interest rate may lead to depreciation pressure on the currency and positive spread may indicate the appreciation pressure. Keywords: Foreign Exchange, Non-Deliverable Forward, exchange rate, spillover, EGARCH.JEL Classification: F31, G13, C51

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