TY  - JOUR
AU  - Edwards,Sebastian
TI  - Floating Exchange Rates, Expectations and New Information
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1064
PY  - 1984
Y2  - February 1984
UR  - http://www.nber.org/papers/w1064
L1  - http://www.nber.org/papers/w1064.pdf
N1  - Author contact info:
Sebastian Edwards
UCLA Anderson Graduate School of Business
110 Westwood Plaza, Suite C508
Box 951481
Los Angeles, CA 90095-1481
Tel: 310/206-6797
Fax: 310/206-5825
E-Mail: sebastian.edwards@anderson.ucla.edu
AB  - This paper analyzes the relationship between forward exchange rates,future spot rates and new information. A stochastic model of exchangerate determination is used to formally show how unanticipated changes in the exchange rate determinants (or "news") affect the spot rate. The empirical analysis indicates that "new information" plays an important role in explaining the market forecasting error, or difference between the spot rate and the forward rate, determined in the previous period.
ER  -