DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS
| Autor: | Nikiforos Laopodis |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 1999 |
| Předmět: | |
| Zdroj: | Global Business and Finance Review, Vol 4, Iss 2, Pp 37-46 (1999) |
| ISSN: | 2384-1648 1088-6931 |
| Popis: | The study examines the joint distribution ofspot andforward rates returnsfor three Greek drachma exchange rates in terms ofGerman marks, British pounds and US dollars. The empirical methodology is the bivariate Expo- nential GARCH model with an error-correction term. The results indicate that innovations originating in the for- ward markets do not transmit any significant information to the spot markets and vice versa. Moreover, the magni- tude and/or the nature ofshocks in one market do not affect the other asymmetrically. The evidence also implies that conditional variances (and covariances) do not vary over time and hence risk-minimizing hedging strategies remain unchanged. In all, the forward rates are not efficient predictors of the spot rates since the difference between them may incorporate valuable information. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|