Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

被引：19

作者：

Spagnolo, F ^{[1
]}

Psaradakis, Z

Sola, M

机构：

[1] Brunel Univ, Dept Math Sci, CARISMA, Uxbridge UB8 3PH, Middx, England

[2] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[3] Univ London Birkbeck Coll, Sch Econ Math & Stat, London, England

[4] Univ Torcuato Di Tella, Dept Econ, Buenos Aires, DF, Argentina

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2005年 / 20卷 / 03期

关键词：

D O I：

10.1002/jae.773

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 the unbiased forward exchange rate (LIFER) hypothesis. Using US/UK data, it is shown that the LIFER 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. Copyright © 2005 John Wiley & Sons, Ltd.

引用

页码：423 / 437

页数：15

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