Foreign Exchange Return Predictability: Rational Expectations Risk Premium vs. Expectational Errors
نویسندگان
چکیده
منابع مشابه
Testing Rational Expectations and Efficiency in the Foreign Exchange Market
Forward and spot exchange rates are modelled as an unrestricted bivariate autoregression from weekly data on the New York foreign exchange market for June, 1973 to April, 1980. The null hypothesis that the forward exchange rate is an unbiased estimate of the corresponding future spot exchange rate is tested by means of a nonlinear Wald test and is rejected for all six currencies considered. The...
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ژورنال
عنوان ژورنال: East Asian Economic Review
سال: 2018
ISSN: 2508-1640,2508-1667
DOI: 10.11644/kiep.eaer.2018.22.4.351