Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/862

Full metadata record

DC Field	Value	Language
dc.contributor.author	Spagnolo, F	-
dc.contributor.author	Psaradakis, Z	-
dc.contributor.author	Sola, M	-
dc.coverage.spatial	18	en
dc.date.accessioned	2007-06-26T20:09:09Z	-
dc.date.available	2007-06-26T20:09:09Z	-
dc.date.issued	2003	-
dc.identifier.citation	Economics and Finance Working papers, Brunel University, 03-15	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/862	-
dc.description.abstract	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.	en
dc.format.extent	287105 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Instrumental variables; Forward exchange rate; Markov chain; Maximum likelihood;	en
dc.subject	Regime switching.	en
dc.title	Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables	en
dc.type	Research Paper	en
Appears in Collections:	Dept of Economics and Finance Research Papers

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