Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation
- HeeJoon Kang
DOIAbstract
depreciation, forward premium, cointegration, interest rate differential, inflation rate differential, nonstationarity,
depreciation, forward premium, cointegration, interest rate differential, inflation rate differential, nonstationarity,
Many empirical studies have been undertaken to determine the validity of the uncovered interest rate...
The importance of the activity in foreign exchange occur as the result of the development of interna...
The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the ...
In the past two decades, there have been many empirical studies both in support of and opposing the ...
While numerous articles report empirical evidence on the relationships between forward and spot fore...
Abstract This dissertation aims to investigate the relationship with forward exchange rate and futur...
The paper reviews the theoretical foundations of the use of forward interest rates to infer expected...
This dissertation studies the simple efficiency hypothesis, which states that the forward exchange r...
This paper evaluates the extent to which the forward exchange rate serves as an 'unbiased' predictor...
An important puzzle in international finance is the failure of the forward exchange rate to be a rat...
The paper proposes that the spot exchange rate consist of two parts. Important information content i...
The forward exchange rate is widely used in international finance whenever the analysis of the expec...
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent–transitory components...
* We thank S. Papadamou (the discussant at the 2005 MFS) for helpful comments and suggestions. The a...
A large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market u...
Many empirical studies have been undertaken to determine the validity of the uncovered interest rate...
The importance of the activity in foreign exchange occur as the result of the development of interna...
The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the ...
In the past two decades, there have been many empirical studies both in support of and opposing the ...
While numerous articles report empirical evidence on the relationships between forward and spot fore...
Abstract This dissertation aims to investigate the relationship with forward exchange rate and futur...
The paper reviews the theoretical foundations of the use of forward interest rates to infer expected...
This dissertation studies the simple efficiency hypothesis, which states that the forward exchange r...
This paper evaluates the extent to which the forward exchange rate serves as an 'unbiased' predictor...
An important puzzle in international finance is the failure of the forward exchange rate to be a rat...
The paper proposes that the spot exchange rate consist of two parts. Important information content i...
The forward exchange rate is widely used in international finance whenever the analysis of the expec...
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent–transitory components...
* We thank S. Papadamou (the discussant at the 2005 MFS) for helpful comments and suggestions. The a...
A large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market u...
Many empirical studies have been undertaken to determine the validity of the uncovered interest rate...
The importance of the activity in foreign exchange occur as the result of the development of interna...
The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the ...
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