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A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model

โœ Scribed by Tsung-Wu Ho

Book ID
114348223
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
232 KB
Volume
43
Category
Article
ISSN
1062-9769

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## 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 the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER