The Prediction of the USD/EUR Spot Exchange Rate on the Basis of the Forward Exchange Rates

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906696" target="_blank" >RIV/62156489:43110/15:43906696 - isvavai.cz</a>

Result on the web

<a href="http://www.publio.pl/files/samples/86/06/e5/131416/Ekonomista_4_demo.pdf" target="_blank" >http://www.publio.pl/files/samples/86/06/e5/131416/Ekonomista_4_demo.pdf</a>

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

The Prediction of the USD/EUR Spot Exchange Rate on the Basis of the Forward Exchange Rates

Original language description

The predictive power of the forward exchange rates for the future spot exchange rates is examined by a number of researchers. The author focuses on this topical economic theme, too. The extent to which the future spot exchange rates can be predicted on the basis of the present forward exchange rates is examined by the author. The aim of the paper is the assessment of the prediction of the spot exchange rates USD/EUR on the basis of the forward exchange rates over the period from 2005 to 2013. Both graphical and regression analyses are used to examine the relationship between daily closing spot and forward rates, specifically between 3 month rates and 6 month rates. Chosen parameters are predicted by the ordinary least squares method. The hypotheses related to these parameters are tested at the 5 % significance level. The author examines, whether the time series of the parameters is stationary by means of the augmented Dickey-Fuller test for a unit root in a time series sample. Subseque

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

—

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Ekonomista

ISSN

0013-3205

e-ISSN

—

Volume of the periodical

Neuveden

Issue of the periodical within the volume

4

Country of publishing house

PL - POLAND

Number of pages

14

Pages from-to

531-544

UT code for WoS article

—

EID of the result in the Scopus database

—