Page 168 - DECO503_INTERNATIONAL_TRADE_AND_FINANCE_ENGLISH

International Trade and Finance

Notes
0.41 0.17 0.44 0.66 0.64 0.32 0.37 0.35 0.24 +1 t

t
– 0.16 – 0.09 – 0.25 – 0.80 0.17 0.17 0.48 – 0.23 0.30

– 0.01 0.23 0.23 0.04 0.20 0.09 0.40 0.15 0.33

0.00 0.26 0.26 0.03 0.22 0.15 0.44 0.16 0.40 , is the forward rate minus the current spot rate.

– 0.01 0.35 0.28 0.14 0.24 0.21 0.49 0.20 0.46 , is the four-week change in the spot exchange rate; F – S

0.00 036 0.23 0.19 0.21 0.22 0.50 0.25 0.42

0.01 0.36 0.18 0.19 0.16 0.23 0.49 0.28 0.34 t

t
– 0.01 0.33 0.17 0.18 0.22 0.20 0.48 0.31 0.26 t

t − S
F – S
0.04 0.32 0.18 0.19 0.30 0.20 0.46 0.36 0.20 t1 + The means and standard deviations of the variables are on a percent per month basis. Under the hypothesis that the true autocorrelations
t
0.18 0.36 0.24 0.23 0.34 0.24 0.47 0.43 0.20

0.33 0.38 0.28 0.28 0.47 0.28 0.52 0.51 0.26

0.33 0.49 0.36 0.37 0.61 0.40 0.61 0.64 0.39 is the thirty-day forward rate minus the spot rate observed four weeks later, F – S

0.44 0.63 0.45 0.47 0.69 0.55 0.73 0.75 0.56 *All exchange rates are U.S. dollars per unit of foreign currency. S are 0.0, the standard error of the sample autocorrelations is about 0.09.

0.67 0.82 0.65 0.68 0.85 0.72 0.86 0.87 0.78

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