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Forward market intervention and exchange rate variability: A simulation approach

โœ Scribed by Hui-Kuan Tseng

Book ID
112727884
Publisher
Springer US
Year
1991
Tongue
English
Weight
658 KB
Volume
19
Category
Article
ISSN
0197-4254

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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