publication . Thesis . 2010

The relationship between the forward– and the realized spot exchange rate in South Africa

Van Heerden, Petrus Marthinus Stephanus;
Open Access
  • Published: 01 Jan 2010
  • Publisher: North-West University
  • Country: Paraguay
Abstract
Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011. The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various...
Subjects
free text keywords: Autoregressive conditional heteroskedasticity model (ARCH model), Autoregressive fractionally integrated moving average model (ARFIMA model), Co-integration, Covered interest rate parity, Dual-listed stocks, Exchange rate puzzle, Forward exchange rate, International capital asset pricing model (ICAPM), International equity parity theory, Non-stationary data, Purchasing power parity (PPP), Realized future spot exchange rate, Stationary data, Uncovered interest rate parity, Vector error correction model (VEC model), Autoregressiewe-voorwaardelike-heteroskedastiese modelle, Autoregressiewe-gedeeltelike-geintegreerde-bewegende-gemiddelde modelle, Gedekte-rentekoers-pariteitsteorie, Dubbelgenoteerde aandele, Wisselkoersvraagstuk, Vooruitwisselkoers, Internasionale kapitaalbateprysingsmodel, Internasionale aandelepariteitsteorie, Nie-stasionêre data, Koopkrag pariteit, Gerealiseerde toekomstige loko-wisselkoers, Stasionêre data, Ongedekte rentekoerspariteitsteorie, Vektor-foutaanpassings-model
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