Do forward premium rates predict the spot rates? Comparison of developed and emerging economies
研究了16个国家（包括发达和新兴经济体）的远期升水率对即期汇率的预测能力，发现异方差远期升水模型优于对称均值模型，可为投资者提供盈利信息。
Abstract The study inquires the role of forward premium rates as a predictor for the respective currency spot rates. The data comprises of developing and developed 16 countries' currencies of daily spot rates and forward premium rates of 30, 90, 180 and 360 days by extending the work of Della Corte, Sarno and Tsiakas (2009). The study proposes the model of predictable time series in nature to test for the heteroscedasticity in respective categories of forward premium rates, for example, heteroscedastic forward premium model (H‐FPM). The results are encouraging and support that forward premiums have information that can be possibly utilized by investors for generating profits. Moreover, the predictive time series model observes that there exists a degree of concordance in results from in‐sample and out‐of‐sample (OOS_R 2 ) statistical tests. The study finds that the (H‐FPM) dominates the symmetric‐mean model (S‐MM) and thus promises more profit incentivised benefits for investors. The study not only add knowledge to the previous study work in relation to predictability of the currencies spot rates through forward premium rates but also incorporate heteroscedasticity, endogeneity and persistency issues that lacks in past empirical studies.