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 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 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 The Forward Rate Unbiasedness Hypothesis in Inflation Targeting Regimes written by Weshah A. Razzak and published by . This book was released on 2003 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: I test the forward rate unbiasedness hypothesis using the Error Correction Model (ECM) of Naka and Whitney (1995). It is shown that the Naka-Whitney treatment of the dynamic is perhaps necessary to ameliorate existing problems associated with testing the hypothesis. However, it is not sufficient due to the sensitivity of the non-linear regression to starting values. Monthly data from October 1985 to May 1998 for New Zealand, Canada, United Kingdom (UK), Sweden, Germany, Japan and South Africa are used to test the forward rate unbiasedness hypothesis. The first four countries are inflation targeting regimes. Germany and Japan have both had very low inflation and South Africa experienced periods of very high inflation followed by periods of low inflation. The null hypothesis is widely rejected. The premia puzzle remains largely unexplained. Interestingly, the forward rate unbiasedness hypothesis holds in two inflation-targeting regimes namely New Zealand and UK. Implications of the Consumption - Asset Pricing Model (CAPM) are used to explain the finding.
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 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 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:
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 Cointegration and Forward Exchange Rate Unbiasedness Hypothesis written by Jianjie Lu and published by . This book was released on 2011 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Forward Rate Unbiasedness Hypothesis in Lebanon written by Viken Kevork Keshishian and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After November 1998, the adjustable peg of the Lebanese pound to the US dollar played a major role in maintaining financial and price stability in the country. It also helped in the expansion of the economy and in the massive capital inflows to the Lebanese market. Moreover, the high stock of assets in foreign currencies prevented Lebanon from any crisis that may hit the economy. The thesis tests for the unbiased forward rate hypothesis as an optimal predictor of the future spot rate. It also supports the fact that the Lebanese pound became a perfect substitute to foreign currencies during the peg period. The study is conducted for the period January 31, 1991 to October 31. The study is divided into two sub-periods. The first sub-period is prior to December 1998, which is renowned as the dirty float period, whereas the second sub period is after December 1998, which is referred to as the adjustable peg period. The empirical results show that the unbiasedness forward rate hypothesis ...
Download or read book Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market a Specification Analysis written by Allan W. (Allan Walter) Gregory and published by London : Department of Economics, University of Western Ontario. This book was released on 1984 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Test of Unbiased Forward Rate Hypothesis written by Wenqing Yao and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Examination of the Unbiased Forward Rate Hypothesis for Five Major Currencies written by William J. Seton and published by . This book was released on 1999 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Explaining the Failure of the Unbiased Forward Rate Hypothesis Using a Time varying Risk Premium written by Tarek Bishr and published by . This book was released on 1998 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis written by Winston Lin and published by . This book was released on 2016 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the mid-1970's, the unbiased forward rate hypothesis (UFRH) of forward and spot exchange rates has been intensively studied and tested with inconclusive and contradictory results. On the basis of the hypothesis, this paper provides variable mean response (VMR) random coefficients models to capture the time-varying and stochastic behavior of the slope coefficient to be referred to as the currency beta, and offers more explicit information concerning the nature of the random disturbance, the specification of the heteroscedastic error, and the existence of linear and quadratic trends.
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:
