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 On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinearity in Deviations from Uncovered Interest Parity An Explanation of the Forward Bias Puzzle written by Lucio Sarno and published by International Monetary Fund. This book was released on 2006-05 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research.

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 The Unbiasedness Hypothesis in the Forward Foreign Exchange Market a Cross country Specification Analysis written by Allan W. (Allan Walter) Gregory and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1984 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations written by Jeffrey A. Frankel and published by . This book was released on 1986 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Unbiased Expectations Hypothesis in the Forward Foreign Exchange Market written by Young-Taek Oh and published by . This book was released on 1990 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Fed in Print written by and published by . This book was released on 1991 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Measuring Investors Behavioral Bias from the Movement of Currency Forward Rate written by Busakorn Wongwanit and published by . This book was released on 2015 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether the forward exchange rate is an unbiased predictor of future spot exchange rate. The empirical results by regression analysis show that the forward rate cannot predict the future spot exchange rate, particularly at longer periods. Therefore, this study aims to use behavioral interpretations explaining behind the inefficient forecasts of forward rates. The result clearly shows that behavioral interpretation is effective to explain such issues, indicating that all the examined currencies have similar patterns in the forecast revisions processes. Moreover, the evidences of this research also show that the FRUH do almost hold at shorter periods, and the longer periods, the more behavioral biases occur. Also, after controlling for time-varying risk premium in the regression, the markets reflect a more balanced mood over time and approach the FRUH.

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 Economic Review written by and published by . This book was released on 1992 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of International Money and Finance written by and published by . This book was released on 1993 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Quantitative Economics written by and published by . This book was released on 1985 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Economic Literature written by and published by . This book was released on 1996 with total page 1350 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The American Economic Review written by and published by . This book was released on 1980 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes papers and proceedings of the annual meeting of the American Economic Association. Covers all areas of economic research.

Download or read book JOURNAL OF ECONOMICS LITERATURE written by and published by . This book was released on 1996 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt: