Forward rates as predictors of future spot rates in small open economies: The case of Kuwait
The relationship between forward and future spot rates appears to be the same for Kuwait as for larger developed countries. Bid-ask spreads do not appear to affect the relationship. But cointegration, unit root and frequency domain tests suggest that there may be a stronger long-run than short-run relationship. Copyright Kluwer Academic Publishers 1991
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2 (1991)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/international+economics/journal/11079/PS2|
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.:
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- John E. Pippenger, 1978. "Interest Arbitrage between Canada and the United States: A New Perspective," Canadian Journal of Economics, Canadian Economics Association, vol. 11(2), pages 183-193, May.
- Chiang, Thomas C, 1988. "The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 212-232, May.
- Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-341, August.
- Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
- Blejer, Mario I. & Khan, Mohsin S., 1983. "The foreign exchange market in a highly-open developing economy : The case of Singapore," Journal of Development Economics, Elsevier, vol. 12(1-2), pages 237-249.
- Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-125, Supplemen.
- John F. O. Bilson, 1980.
"The "Speculative Efficiency" Hypothesis,"
NBER Working Papers
0474, National Bureau of Economic Research, Inc.
- Levine, Ross, 1989.
"The pricing of forward exchange rates,"
Journal of International Money and Finance,
Elsevier, vol. 8(2), pages 163-179, June.
- Francis X. Diebold & Marc Nerlove, 1988. "Unit roots in economic time series: a selective survey," Finance and Economics Discussion Series 49, Board of Governors of the Federal Reserve System (U.S.).
- Maasoumi, Esfandiar & Pippenger, John, 1989. "Transaction Costs and the Interest Parity Theorem: Comment," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 236-243, February.
- Blejer, Mario I. & Khan, Mohsin S., 1980. "Foreign exchange market regularities in a developing economy," Economics Letters, Elsevier, vol. 6(3), pages 279-286.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 135-152, June.
- Boyer, Russell S & Adams, F Charles, 1988. "Forward Premia and Risk Premia in a Simple Model of Exchange Rate Determination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(4), pages 633-644, November.
When requesting a correction, please mention this item's handle: RePEc:kap:openec:v:2:y:1991:i:2:p:183-201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.