Nonlinearity as an explanation of the forward exchange rate anomaly
AbstractThis article shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 13 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Other versions of this item:
- Derek Bond & Niall Hession & Michael J Harrison & Edward J O’Brien, 2007. "Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly," Working Papers 200801, School Of Economics, University College Dublin.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
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