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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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