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澳洲论文网:即期汇率与远期汇率之间的差异

为了求解当前即期汇率与远期汇率之间存在的差异,可以给出当前即期汇率(Snaith et al., 2013)。这可以通过以下公式来实现:

Ft – St = Et (St+1 – St) + Pt

研究人员Eugene Fama认为,当前即期汇率与远期汇率之间的方差之间的主要正相关关系是时间差异的信号。这种差异存在于被称为差异远期现货Ft – St溢价的成分内,也可以在即期汇率预期变化的预测范围内进行(Topbas, 2013)。

澳洲论文网:即期汇率与远期汇率之间的差异

Fama进一步断言,未来即期汇率与远期汇率Ft – St+1之间的当前方差回归范围内的斜率系数。进一步考虑到与差分前向点相关的两个分量在一段时间内从零点隐含差变化到Ft – St的前向点率(St+1 – St)比预期的变化(Wang, 2015)。这些是预期的变化和即期汇率内的溢价。法玛的研究结果得到了大多数研究机构的实证验证。最终发现,体育费率预期变化的主要差异,只能解释风险规避系数被认为高到出乎意料的程度(Aggarwal et al., 2015)。其他研究发现,在风险溢价证据在一段时间内存在差异的情况下以及在风险溢价中存在一致性的情况下,无偏假设都被拒绝。

澳洲论文网:即期汇率与远期汇率之间的差异

The present spot rate can be presented in order to solve the equation for the differences that are present among the current spot rate and the forward rate (Snaith et al., 2013). This can be performed through the following equation:
Ft – St = Et (St+1 – St) + Pt
It was identified by the researcher namely Eugene Fama that the major positive association of the variance among the current spot exchange rate and the forward exchange rate signals the differences on the time. This different is within the component that is known as premium of the differential forward spot Ft – St or it can be performed within the prediction of the change that is expected within the spot exchange rate (Topbas, 2013).

澳洲论文网:即期汇率与远期汇率之间的差异

It was further asserted by Fama that the coefficients of slope within the regressions of the present variances among the future spot rate and the forward rate Ft – St+1. Further considering the change anticipated in the rate of spot Et (St+1 – St) over the differential forward spot of Ft – St that are varied from the difference of zero imply over the period of time in two of the components related to the differential forward-spot (Wang, 2015). These are the expected change and the premium within the spot rate. The findings that were made by Fama are validated empirically with the majority of the research body. It was eventually found that major difference in the changes that are expected in the sport rate can be accounted only for the coefficients of the risk aversion that were regarded to be high to the extent that it was not expected (Aggarwal et al., 2015). Other studies identified that the unbiased hypothesis were rejected in either of the case wherein the risk premia evidence differed over the period of time and the instances wherein the consistency is present in the risk premia.