This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables Author info | Abstract | Publisher info | Download info | Related research | Statistics fabio spagnolod ()
Zacharias Psaradakis
Martin Sola
Additional information is available for the following
registered author(s):
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 for 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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number
03-15.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 18 pages
Date of creation: Feb 2003Date of revision:
Handle: RePEc:bru:bruppp:03-15Contact details of provider: Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
For technical questions regarding this item, or to correct its listing, contact: (John.Hunter).
Keywords: Other versions of this item:
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1990.
"Mean Reversion in Equilibrium Asset Prices ,"
NBER Working Papers
2762, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996.
"Finite-Sample Properties of Some Alternative GMM Estimators ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 262-80, July.
James H. Stock & Motohiro Yogo, 2002.
"Testing for Weak Instruments in Linear IV Regression ,"
NBER Technical Working Papers
0284, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Town, R J, 1992.
"Merger Waves and the Structure of Merger and Acquisition Time-Series ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 7(S), pages S83-100, Suppl. De.
[Downloadable!] (restricted)
Hansen, Bruce E, 1992.
"The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De.
[Downloadable!] (restricted)
Francq, C. & Zakoian, J. -M., 2001.
"Stationarity of multivariate Markov-switching ARMA models ,"
Journal of Econometrics ,
Elsevier, vol. 102(2), pages 339-364, June.
[Downloadable!] (restricted)
Other versions: Psaradakis, Zacharias & Sola, Martin, 1998.
"Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching ,"
Journal of Econometrics ,
Elsevier, vol. 86(2), pages 369-386, June.
[Downloadable!] (restricted)
Hansen, Bruce E, 1996.
"Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 11(2), pages 195-98, March-Apr.
[Downloadable!] (restricted)
Other versions: Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002.
"A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(4), pages 518-29, October.
Charles Engel, 1996.
"The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence ,"
NBER Working Papers
5312, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1997.
"Cointegration and Changes in Regime: The Japanese Consumption Function ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 12(2), pages 151-68, March-Apr.
[Downloadable!]
Zacharias Psaradakis & Nicola Spagnolo, 2003.
"On The Determination Of The Number Of Regimes In Markov-Switching Autoregressive Models ,"
Journal of Time Series Analysis ,
Blackwell Publishing, vol. 24(2), pages 237-252, 03.
[Downloadable!] (restricted)
Full
references
Access and
download statistics Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.
This page was last updated on 2009-11-13.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .