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The relationship between the Renminbi future spot return and the forward discount rate

โœ Scribed by Yanping Zhao; Jakob de Haan; Bert Scholtens; Haizhen Yang


Book ID
119298731
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
823 KB
Volume
32
Category
Article
ISSN
0261-5606

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Why Does the Spot-Forward Discount Fail
โœ Charles A.E. Goodhart; Patrick C. McMahon; Yerima L. Ngama ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 131 KB

We use the Phillips and Hansen (1990) modified procedure to estimate the cointegrating vector between F t , the forward exchange rate, and S t1 , the appropriate spot rate. We find that the coefficient b, from the equation, S t1 a bF t e t1 to be very close to, but significantly different from, 1 (a