The unbiased forward rate hypothesis re-examined
β Scribed by Atsuyuki Naka; Gerald Whitney
- Book ID
- 116116608
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 656 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
## Abstract It is widely accepted that longβterm interest rates are more suitable for testing the Uncovered Interest Rate Parity (UIP) than shorterβterm rates. This paper shows that while using longerβterm (1βyear) forward exchange rates are also more suitable than shorterβterm rates (1βmonth) for