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Testing Efficiency of the Taiwan-US Forward Exchange Market - A Markov Switching Model

✍ Scribed by Chung-Hua Shen

Book ID
115208684
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
514 KB
Volume
8
Category
Article
ISSN
1351-3958

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Testing the unbiased forward exchange ra
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
✍ Fabio Spagnolo; Zacharias Psaradakis; Martin Sola πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 143 KB πŸ‘ 1 views

## 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