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Markov-switching models and the unit root hypothesis in real US GDP

✍ Scribed by Maximo Camacho

Book ID
116422890
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
289 KB
Volume
112
Category
Article
ISSN
0165-1765

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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