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1 posts on "expected returns"
June 25, 2014

Do Currency Forwards Say Anything about the Future Value of the U.S. Dollar?

J. Benson Durham Currency forwards do include useful information about the future value of the U.S. dollar, but any messages are hard to decipher without tools. Just as the yield curve reflects expected short rates as well as term premiums, foreign exchange forwards embed not only anticipated depreciation but also premiums for currency risk. This […]

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Posted at 7:00 am in Exchange Rates, Expectations, Financial Markets | Permalink

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Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

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