Search Results

Forward Interest Rates as Indicators of Inflation Expectations,
Paul Söderlind, from Stockholm University, Institute for International Economic Studies (1997)
Keywords: Inflation expectations; real interest rates; forward rates.

Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies,
Raj Aggarwal, Winston T. Lin and Sunil K. Mohanty, in Multinational Finance Journal (2008)
Keywords: forward rates; rational forecasts

Is there asymmetry in forward exchange rate bias? Multi-country evidence,
Su Zhou and Ali Kutan, from University of Bonn, ZEI - Center for European Integration Studies (2002)
Keywords: Asymmetry in forward exchange rate bias, Forward rate anomaly

Application for Determination of the Forward Exchange Rate in Access 2003,
Loredana Mocean and Codruţa Maria Fat, in Informatica Economica (2006)
Keywords: forward, exchange rate, application, bid, ask

Long maturity forward rates of major currencies are stationary,
Zsolt Darvas and Zoltán Schepp, from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest (2006)
Keywords: forward exchange rate, unit root tests

Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis,
Georgios Sakoulis, Eric Zivot and Kyongwook Choi, in Journal of Empirical Finance (2010)
Keywords: Structural changes Forward discount rate unbiased hypothesis Exchange rates

The Q-Measure Dynamics of Forward Rates,
Riccardo Rebonato, in Annual Review of Financial Economics (2023)
Keywords: forward rates, volatility, correlation, no-arbitrage, pricing models

Forward Rate Curve Smoothing,
Robert Jarrow, in Annual Review of Financial Economics (2014)
Keywords: forward rate curves, polynomial splines, smoothed splines, term structure evolutions, HJM model

Does the euro area forward rate provide accurate forecasts of the short rate?,
Ana Galvão and Sónia Costa, in International Journal of Forecasting (2013)
Keywords: Interest rates; Forecasting; Forward premium; Euro area;

Can forward rates be used to improve interest rate forecasts?",
Alfonso Novales and Emilio Domínguez Irastorza, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002)
Keywords: Expectations hypothesis, Term structure, Forward rates

Is Mexico's Forward Exchange Rate Market Efficient?,
Alejandro Islas-Camargo, Willy Cortez and Tania Pamela Sanabria Flores, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2018)
Keywords: Forward exchange rate; Unbiased Forward Exchange Rate Hypothesis; Mexican Foreign Exchange Market; Markov Switching; Market Efficiency

Cointegration and Forward and Spot Exchange Rate Regressions,
Eric Zivot, from University Library of Munich, Germany (1998)
Keywords: cointegration, exchange rates, forward rate unbiasedness, weak exogeneity

Target Zones and Forward Rates in a Model with Repeated Realignments,
Gordon Bodnar and Leonardo Bartolini, from International Monetary Fund (1992)
Keywords: WP;exchange rate;central bank;forward rate; spot exchange rate solution; interest rate differential; exchange rate band; premia--spot exchange rate relationship; forward market; Managed exchange rates; Exchange rates; Spot exchange rates; Crawling peg; Forward exchange rates

Interest Rate Dynamics and Consistent Forward Rate Curves,
Tomas Bjork and Bent Jesper Christensen, from Stockholm School of Economics (1997)
Keywords: Forward rate curves; interest rate models; invariant manifolds; marked point processes

Forward Exchange Rates and Expected Future Spot Rates,
Christian Wolff, from C.E.P.R. Discussion Papers (1987)
Keywords: Exchange Rates; Forecasting; Forward Rates; Kalman Filter; Premia; Signal Extraction; Time Series

Forward Discount Bias, Nalebuff's Envelope Puzzle, and the Siegel Paradox in Foreign Exchange,
Aaron Edlin, in The B.E. Journal of Theoretical Economics (2002)
Keywords: Forward Rates, Forward Discount Bias

Risky forward interest rates and swaptions: Quantum finance model and empirical results,
Belal Ehsan Baaquie, Miao Yu and Jitendra Bhanap, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Forward interest rates; Swaption; Quantum finance;

Does data frequency matter for the impact of forward premium on spot exchange rate?,
Paresh Narayan and Susan Sharma, in International Review of Financial Analysis (2015)
Keywords: Exchange rate; Forward premium; Data frequency; Investors;

Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries,
David G. McMillan, in Journal of International Financial Markets, Institutions and Money (2009)
Keywords: Asymmetric adjustment Forward premium Interest rates

Forward guidance through interest rate projections: does it work?,
Leif Brubakk, Saskia ter Ellen and Hong Xu, from Norges Bank (2017)
Keywords: monetary policy, forward guidance, interest rates

Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets,
Shu Wu, from University of Kansas, Department of Economics (2005)
Keywords: forward premium puzzle, the term structure of interest rates

The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate,
Stuart Landon and Constance Smith, from University Library of Munich, Germany (1999)
Keywords: exchange rate; forward premium; risk premium

Dynamics of Spot, Forward, and Futures Libor Rates,
Marek Rutkowski, in International Journal of Theoretical and Applied Finance (IJTAF) (1998)
Keywords: Zero-coupon bond, forward Libor rate, Eurodollar futures

What Determines the Forward Exchange Rate of the Euro?,
Costas Karfakis, from Department of Economics, University of Macedonia (2008)
Keywords: Euro, Forward Exchange Rate, Arbitrage, Speculation, Co-integration

Quantitative forward guidance through interest rate projections,
Boris Hofmann and Fan Dora Xia, from Bank for International Settlements (2022)
Keywords: forward guidance, interest rate projections, central bank communication.

The Investigation of a Forward-Rate Mortality Framework,
Daniel H. Alai, Katja Ignatieva and Michael Sherris, in Risks (2019)
Keywords: longevity risk; Olivier–Smith model; forward-rate mortality framework; minimum covariance pattern; copulas

Yields and Forward Rates,
Robert Jarrow and Arkadev Chatterjea, from World Scientific Publishing Co. Pte. Ltd. (2024)
Keywords: Derivatives, Financial Markets, Risk Management, Arbitrage, Financial Engineering, Forwards, Futures, Call Options, Put Options, European Options, American Options, Swaps, Currency Swaps, Interest Rate Swaps, Commodity Swaps, Equity Swaps, Credit Default Swaps, Commodity Derivatives, Equity Derivatives, Index Derivatives, Interest Rate Derivatives, Commodities, Margins and Daily Settlements, Binomial Model, Black-Scholes Model, Black-Scholes-Merton Model, Delta Hedging, Gamma Hedging, Heath-Jarrow-Morton Model, Libor Model, Forward Rate Agreements, Interest Rate Futures, Interest Rate Options, Market Manipulation, Regulation, Derivatives Exchanges,

An analysis of the unbiased forward rate hypothesis in developed and emerging economies,
Muka Phungo and Lumengo Bonga-Bonga, from University Library of Munich, Germany (2019)
Keywords: forward market, spot market, exchange rate, unbiased forward rate hypothesis, smooth transition error correction model

A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate,
Thuy-Duong To, from Quantitative Finance Research Centre, University of Technology, Sydney (2004)
Keywords: Heath-Jarrow-Morton; forward rate; futures; estimation bias

Models of the yield curve and the curvature of the implied forward rate function,
Peter J. Yallup, in Journal of Banking & Finance (2012)
Keywords: Bonds; Yield curve; Forward rate; Discount rate; Curve fitting;

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market,
Graham Elliott and Takatoshi Ito, from Department of Economics, UC San Diego (1998)
Keywords: foreign exchange rate, expectations, forward rate, efficient markets

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market,
Graham Elliott and Takatoshi Ito, from Institute of Economic Research, Hitotsubashi University (1998)
Keywords: Foreign exchange rate; Expectations; Forward rate; and Efficient markets.

An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market,
Emilio Russo, Fabio Spagnolo and Rogemar Mamon, from Springer (2007)
Keywords: Exchange rate dynamics, structured change, unbiased forward exchange rate hypothesis

ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS,
Hans-Peter Bermin, in International Journal of Theoretical and Applied Finance (IJTAF) (2014)
Keywords: Interest rates, yield curve, term structure, forward rates, principal component analysis, Karhunen–Loève expansion

Analysing Quantiles in Models of Forward Term Rates,
Thomas A. McWalter, Erik Schlogl and Jacques van Appel, in Risks (2023)
Keywords: interest rate modelling; forward term rates; LIBOR market model; model calibration

Accounting for Forward Rates in Markets for Foreign Currency,
David Backus, Allan Gregory and Chris Telmer, from Economics Department, Queen's University (1990)
Keywords: forward and spot rates, risk premiums, contingent claims pricing, habit persistence, marginal rate of substitution

Real-World Forward Rate Dynamics With Affine Realizations,
Eckhard Platen and Steffan Tappe, from Finance Discipline Group, UTS Business School, University of Technology, Sydney (2015)
Keywords: Lévy driven interest rate model; Real-world forward rate dynamics; Affine realization; Market price of risk

Forward contract - minimize the exchange risk,
Martin Maršík and František Vebr, in Acta Universitatis Bohemiae Meridionales (1998)
Keywords: market; rate; forward contract; forward points

Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones,
Marianne Nessen, in Open Economies Review (1997)
Keywords: exchange rates, target zones, risk premia, forward rate bias,

Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience,
David Tripe, Bingru Xia and Leigh Roberts, from Victoria University of Wellington, School of Economics and Finance (2011)
Keywords: implied forward mortgage rates, New Zealand, spot mortgage rates,

The Forecasting of Spot Exchange Rates Based on the Forward Exchange Rates,
Radim Gottwald, from Mendel University in Brno, Faculty of Business and Economics (2015)
Keywords: Forward exchange rate, spot exchange rate, rational expectations theory, currency pair, FOREX

A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model,
Homing Chen and Cheng-Feng Hu, in European Journal of Operational Research (2010)
Keywords: Semi-infinite programming Forward interest rate

An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?,
Grace Loring and Brian Lucey, in Emerging Markets Review (2013)
Keywords: Forward rate unbiasedness; Emerging markets; Foreign exchange;

Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract,
Brian Lucey and Grace Loring, from IIIS (2012)
Keywords: forward rate, unbiasedness, expectations, emerging markets,

Price of coupon bond options in a quantum field theory of forward interest rates,
Belal E. Baaquie, in Physica A: Statistical Mechanics and its Applications (2006)
Keywords: Coupon bond option; Forward interest rates; Quantum field theory;

Estimation of default rates using the regression model and forward-looking modeling,
Stelian Stancu, Ion-Florin Raducu and Andreea Pernici, in Romanian Journal of Economics (2024)
Keywords: forward-looking;regression;default rates;probability of default;performance measures

Asymmetries in the sport-forward G10 exchange rates: an answer to an old puzzle?,
George Christodoulakis and Emmanuel Mamatzakis, from Department of Economics, University of Macedonia (2008)
Keywords: Asymmetric preferences, Spot-forward exchange rates, GMM estimation, Lin-Lin.

The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test,
Natalya Delcoure, John Barkoulas, Christopher Baum and Atreya Chakraborty, from Boston College Department of Economics (2000)
Keywords: Forward rate unbiasedness, panel unit-root tests, cointegration

Forward-Looking Exporters and Exchange Rate Pass-Through: A Micro-Level Investigation,
Yao Li and Carol Zhao Chen, from HKUST Institute for Emerging Market Studies (2015)
Keywords: Forward-looking, Price adjustment, Exchange rate pass-through, Sticky price

Forward guidance and the exchange rate: A theoretical sign restricted VAR analysis,
Fabrice Dabiré, from Departement d'économique de l'École de gestion à l'Université de Sherbrooke (2022)
Keywords: Monetary policy, Forward guidance, Exchange rate, Sign restrictions.

Macroeconomic uncertainty and the distant forward-rate slope,
Robert Connolly, David Dubofsky and Chris Stivers, in Journal of Empirical Finance (2018)
Keywords: Treasury term structure; Forward interest rates; Macroeconomic uncertainty; Term risk premia;

Term structure extrapolation and asymptotic forward rates,
J. de Kort and M.H. Vellekoop, in Insurance: Mathematics and Economics (2016)
Keywords: Term structure; Extrapolation; Asymptotic forward rates; Smith–Wilson algorithm; Exponential tension spline;

Uncovered Interest Parity, Forward Guidance and the Exchange Rate,
Galí, Jordi, from C.E.P.R. Discussion Papers (2020)
Keywords: Forward guidance puzzle; Uncovered interest rate parity; Unconventional monetary policies; Open economy new keynesian model

Nonlinearity as an explanation of the forward exchange rate anomaly,
Derek Bond, Niall Hession, Michael J. Harrison and Edward O'Brien, from School of Economics, University College Dublin (2008)
Keywords: Forward exchange rate anomaly; Nonlinearity; Random field regression; Foreign exchange; Nonlinear theories; Random fields

Uncovered Interest Parity, Forward Guidance and the Exchange Rate,
Jordi Galí, from Barcelona School of Economics (2018)
Keywords: forward guidance puzzle, uncovered interest rate parity, unconventional monetary policies, open economy New Keynesian model

Uncovered interest parity, forward guidance and the exchange rate,
Jordi Galí, from Department of Economics and Business, Universitat Pompeu Fabra (2020)
Keywords: forward guidance puzzle, uncovered interest rate parity, unconventional monetary policies, open economy New Keynesian model.

Why exchange rate pass-through matters in forward exchange markets,
Yoonho Choi and E. Kwan Choi, in Economic Modelling (2022)
Keywords: Covered interest rate parity; Utility-equalizing forward rate; Exchange rate pass-through;

The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis,
Golaka Nath, from University Library of Munich, Germany (2013)
Keywords: forward exchange rate, India, CCIL, bias, puzzle, exchange rate premium, exchange rate

The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies,
Ravi Bansal and Magnus Dahlquist, from C.E.P.R. Discussion Papers (1999)
Keywords: Forward Premium; Forward Rates; Systematic Risk

The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors,
Richard Clarida and Mark Taylor, from C.E.P.R. Discussion Papers (1993)
Keywords: Cointegration; Efficiency; Forecasting; Forward Exchange Rate; Information; Spot Exchange Rate

Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction,
Raj Aggarwal and Sijing Zong, in Multinational Finance Journal (2008)
Keywords: exchange rates; forward bias; market rationality; under-reaction

Response of the term structure of forward exchange rate to jump in the interest rate,
Xiao-Ping Li, Yun Feng, Chong-Feng Wu and Wei-Dong Xu, in Economic Modelling (2013)
Keywords: Jumps in interest rates; Forward exchange rates; Kalman filter methodology; Markov Chain Monte Carlo (MCMC) algorithm; Volatility curve;

Higher order forward rate agreements and the smoothness of the term structure,
Stefan R. Jaschke, from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)
Keywords: linear programming, arbitrage, term structure of interest rates, smoothing splines, forward rates, dominance

Updating the Ultimate Forward Rate over Time: A Possible Approach,
Diana Zigraiova and Petr Jakubík, from Czech National Bank (2017)
Keywords: Extrapolation, Nelson-Siegel, Svensson, term structure of interest rates, Ultimate Forward Rate

Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields,
Carl Chiarella and Oh Kwon, in Review of Derivatives Research (2003)
Keywords: Markovian models, interest rate models, Heath–Jarrow–Morton, forward rates, yields,

Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence,
Hiroshi Konno, in Asia-Pacific Financial Markets (1997)
Keywords: convex minimization problems, forward rate sequence, least square approach, term structure of interest rates.,

On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models,
Tomas Bjork and Lars Svensson, from Stockholm School of Economics (1999)
Keywords: Forward rate curves; interest rate models; factor models; state space models; Markovian realizations

The Relationship Between the Forward and the Realized Spot Exchange Rate in South Africa,
Chris Heerden, André Heymans and Paul Styger, from Springer (2023)
Keywords: Deductive approach, Experimental research, Forward exchange rate, Realized future spot exchange rate

Modeling Risk Premia in Forward Foreign Exchange Rates as Unobserved Components: The Model Identification Problem,
Aziz Chouikh and Abdelwahed Trabelsi, in International Journal of Financial Research (2014)
Keywords: autoregressive moving average, forward risk premium, signal extraction, noise, forward exchange rate

Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates,
Zsolt Darvas, Gábor Rappai and Zoltán Schepp, from Money Macro and Finance Research Group (2007)
Keywords: EHTS, forward discount bias, stationarity of long maturity forward rates, UIP, yield parity

Can Perpetual Learning Explain the Forward Premium Puzzle?,
George Evans and Avik Chakraborty, from University of Oregon Economics Department (2006)
Keywords: Learning, exchange rates, forward premium.

Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence,
Jorge Pérez-Rodríguez, Julián Andrada-Félix and Heiko Rachinger, in The North American Journal of Economics and Finance (2021)
Keywords: Exchange rates; Forward volatility unbiasedness hypothesis; Fractional cointegration;

A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation,
Efthymios Pavlidis, Ivan Paya and David Peel, from Lancaster University Management School, Economics Department (2012)
Keywords: Rational bubble, Forward exchange rate, Explosive root, Hyperinflation

FORECASTING FORWARD EXCHANGE RATE RISK PREMIUM IN SINGAPORE DOLLAR/US DOLLAR EXCHANGE RATE MARKET,
Khurshid Kiani, in The Singapore Economic Review (SER) (2009)
Keywords: Forward foreign exchange rates, non-normality, risk premium, spot foreign exchange rates, signal extraction, volatility persistence

Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis,
Michael Wickens, in Open Economies Review (2022)
Keywords: Forward interest rates, Term structure, Forecasts of spot interest rates, Financial crisis

Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation,
Heejoon Kang, in Open Economies Review (1992)
Keywords: depreciation, forward premium, cointegration, interest rate differential, inflation rate differential, nonstationarity,

Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics,
Eckhard Platen and Stefan Tappe, from Quantitative Finance Research Centre, University of Technology, Sydney (2011)
Keywords: Levy driven interest rate models; real-world forward rate dynamics; stochastic volatility; affine realizations

Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies,
Massimo Rostagno, Carlo Altavilla, Giacomo Carboni, Wolfgang Lemke, Roberto Motto and Arthur Saint Guilhem, from European Central Bank (2021)
Keywords: forward curve, forward guidance, large-scale asset purchases, monetary policy, negative interest rates, rate options, yield curve

EQUILIBRIUM CONDITIONS OF FORWARD EXCHANGE MARKET EXPRESSED IN A SIMPLE GEOMETRIC STRUCTURE,
Jianguo Chen and Lloyd P. Blenman, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Foreign exchange rate, forward rate, arbitrage, forward swap

A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE,
Hiroshi Konno and Sumito Ito, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Forward rate, term structure, Carleton–Cooper's method, least square method, convex minimization problem

Can country-specific interest rate factors explain the forward premium anomaly?,
Efthymios Argyropoulos, Nikolaos Elias, Dimitris Smyrnakis and Elias Tzavalis, in Journal of Economics and Finance (2021)
Keywords: UIRP, Two-country affine term structure model, Forward premium anomaly, Exchange rate forecasting, Expectations hypothesis

Long run forward rates and long yields of bonds and options in heterogeneous equilibria,
Semyon Malamud, in Finance and Stochastics (2008)
Keywords: Heterogeneity, Asset prices, Yield curve, Forward rates, Option, 91B28, 91B60, 91B64, 91B70, D91, E43, G12,

On the construction of finite dimensional realizations for nonlinear forward rate models,
Camilla Landén and Tomas Bjork, in Finance and Stochastics (2002)
Keywords: HJM models, factor models, forward rates, state space models, Markovian realizations

On the construction of finite dimensional realizations for nonlinear forward rate models,
Tomas Bjork and Camilla Landen, from Stockholm School of Economics (2000)
Keywords: forward rate; HJM models; term structure; factor models; state space models; Markovian realizations

Finite dimensional Markovian realizations for stochastic volatility forward rate models,
Tomas Bjork, Camilla Landén and Lars Svensson, from Stockholm School of Economics (2002)
Keywords: HJM models; stochastic volatility; factor models; forward rates; state space models; Markovian realizations; infinite dimensional SDEs

Forward Guidance and Its Effectiveness: A Macro Finance Shadow-Rate Framework,
Junko Koeda and Bin Wei, from Federal Reserve Bank of Atlanta (2023)
Keywords: forward guidance; effective lower bound (ELB); liftoff; term structure; shadow rate; macro finance; unspanned macro factors

Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation,
Evangelia Kasimati and Nikolaos Veraros, from Bank of Greece (2017)
Keywords: Shipping; Freight Rates; Forward Freight Agreements; Forecasting; Vector Error Correction Models

The Meiselman forward interest rate revision regression as an Affine Term Structure Model,
Adam Golinski and Peter Spencer, from Department of Economics, University of York (2012)
Keywords: term structure, Meiselman regression, forward rate revision, Wold representation, long memory.

Interest rate spreads and forward guidance,
Christian Bredemeier, Christoph Kaufmann and Andreas Schabert, from European Central Bank (2018)
Keywords: forward guidance, liquidity premium, unconventional monetary policy

The Forward Rate Premium Puzzle: A Resolution?,
Stephen Hall, P. A. V. B. Swamy, George Tavlas and Amangeldi Kenjegaliev, from Division of Economics, School of Business, University of Leicester (2011)
Keywords: Forward premium anomaly; Time-varying coefficients; spurious