Download or read book Further Tests on the Forward Exchange Rate Unbiasedness Hypothesis written by Simón Sosvilla-Rivero and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Forward Rate Unbiasedness Hypothesis written by Devalina Chatterjee and published by . This book was released on 2010 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this dissertation is to verify and explain the forward exchange rate unbiasedness hypothesis in the foreign exchange market. Since in most of the cases the unbiasedness hypothesis fails to hold, we try to provide three different explanations of this puzzling behavior in the three essays. The first essay tries to resolve the forward premium puzzle by addressing the model misspecification issue and thereby adding a time-varying risk premium term in the percentage change specification. The risk premium term is modeled using the GARCH-M representation and the model is estimated by applying a GARCH (1, 1) specification. The second essay attributes the failure of the unbiasedness hypothesis to hold to the nonstationarity of the spot and forward exchange rate. It verifies the existence of a cointegrating relationship between the spot and the forward exchange rates and thus specifies an Error Correction Model to better capture the relation between the spot and the forward rates. Further, a cointegrating or the existence of a long run relationship between the spot and forward exchange rates and the domestic and foreign interest rates is tested. It can be viewed as a robustness check where we ensure whether the cointegrated exchange rates are still related in the long run with the inclusion of the interest rates. The objective of the third essay is to apply the generalized method of moments (GMM) to test the unbiasedness hypothesis in the foreign exchange market. Empirical evidence suggests that the spot and forward rates are nonstationary with unit roots and are cointegrated. Cointegration further suggests that the changes in the spot rate can be modeled by an Error Correction Model. The third essay explicitly derives an ECM from the levels specification and uses the GMM estimation technique to test the unbiasedness hypothesis.
Download or read book Misspecification Bias in Tests of the Forward Foreign Exchange Rate Unbiasedness Hypothesis written by Janice L. Boucher and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Unbiased Forward Rate Hypothesis written by Rami Nabil Rishani and published by . This book was released on 2008 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to the unbiased forward exchange rate hypothesis, the forward exchange rate is an unbiased predictor of the spot exchange rate observed one period lat er. Similar to say, the forward exchange rate reflects available information abo ut the exchange rate hypothesis. Much empirical research has been done to test t he hypothesis; however, no consensus has been reached. This project will test th e unbiased forward exchange rate hypothesis by using monthly data for some major currencies. After a general introduction, Chapter II explains the hypothesis and provides ba ckground information about the spot and forward exchange rates and the differenc e between them. Chapter III reviews previous research done about this hypothesis and summarizes them. Chapter IV tests the hypothesis using OLS regression metho ds on the Canadian Dollar, UK pound sterling, Japanese Yen and others. Chapter V concludes the project by explaining the results and relating them to previous s tudies.
Download or read book Re examining the Forward Rate Unbiasedness Hypothesis and Contagion Effects in the East Asian Currencies written by Achmad Reza Widjaja and published by . This book was released on 2004 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Forward Exchange Rate Bias written by Ross Levine and published by . This book was released on 1988 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noninformative Tests of the Unbiased Forward Exchange Rate written by Scott W. Barnhart and published by . This book was released on 2009 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper a familiar, but unsettling result in the foreign exchange literature is reexamined: that the forward rate is not an unbiased predictor of the future spot rate. The paper outlines why some frequently used tests of unbiasedness are noninformative in the sense that they are incapable of correctly testing the hypothesis. Specifically, many of these tests are based on regressions that suffer from simultaneity bias, resulting in biased and inconsistent estimators. This is true whether the tests are conducted using stationary or nonstationary data. This point is demonstrated both analytically and with simulations. Tests of cointegration, which are not subject to the critique presented in the paper, generally fail to reject unbiasedness.
Download or read book Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables written by Fabio Spagnolo and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within-regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based.
Download or read book Working Paper Series written by and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.
Download or read book The Forward Rate Unbiasedness Hypothesis written by Toufic Nicolas Mokbel and published by . This book was released on 2009 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis implies that all the available information is to tally implemented in the forward rate leading to the equality between the forwar d rate and the future spot. This study investigates whether this relation, known as the Forward Rate Unbiasedness Hypothesis (FRUH), is applicable for the Middl e East and North Africa (MENA) currencies. Testing for the FRUH was done by testing for unit roots and stationarity of the Spot and Forward Series using the Augmented Dickey Fuller (ADF) test and the Kwi atkowski, Phillips, Schmidt and Shin (KPSS) test, and then the conducting the Jo hansen Cointegration test that enables the approval the FURH, if the cointegrati on vector is [1,-1]. This study shows that FURH is applicable for some currencies for short forward p eriods only. However, for most currencies, the FRUH is not applicable for the lo ng forward periods and therefore it is concluded that the FURH is generally not applicable in MENA countries, proving that their markets are non-efficient, non- transparent and non-liquid.
Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Download or read book The Forward Rate Unbiasedness Hypothesis in Inflation targeting Regimes written by Weshah Razzak and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Forward Rate Unbiasedness in India written by Rohit Vishal Kumar and published by . This book was released on 2009 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 'Unbiased Forward Rate Hypothesis' (UFH) states that the forward exchange rate of any foreign currency must be an unbiased predictor of the future spot rate. In developed economies, considerable empirical work has been undertaken by researchers to test the validity of UFH; however the results have been quite mixed. In the Indian context, little empirical (or even theoretical) work has been undertaken to test/examine/investigate the validity of UFH in the Indian forex market. In this paper, we attempt to reexamine in Indian context the familiar relationship between forward and future spot rate. Using the rates for the US Dollar on a monthly basis, we use 'level' specification to test for UFH in the Indo - US foreign exchange rate market. Cointegration tests are performed to confirm the legitimacy of forward rate and spot rate being included in regression. Evidence of serial correlation is found and models for correction of serial correlation are used. The data, taken from the Reserve Bank of India, covers a period from September 2000 to January 2007. Our investigations reveal that the Indian forex market does not fully support the UFH. For the entire sample period, the evidences indicate that even though the current forward rate has a significant impact in predicting the future spot rate, however, enough variability remain to make the predictions a suspect. Based on our evidences, we highlight some reasons as to why the UHF fails in the Indian forex market and suggest areas for further research.
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Download or read book The forward rate unbiasedness hypothesis written by Fredrik Johansson and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
