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Some answer to puzzles in testing unbiasedness in the foreign exchange market

Barnhart, Scott W.; McNown, Robert F.; Wallace, Myles Stuart - In: Applied financial economics 12 (2002) 10, pp. 687-696

Persistent link: https://www.econbiz.de/10001702505

Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10002807278

The forward rate unbiasedness hypothesis revisited

Ho, Tsung-wu - In: Applied financial economics 12 (2002) 11, pp. 799-804

Persistent link: https://www.econbiz.de/10001711928

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Spagnolo, Fabio; Psaradakis, Zacharias; Sola, Martín - 2004

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...

Persistent link: https://www.econbiz.de/10014068295

Misspecification bias in tests of the forward foreign exchange rate unbiasedness hypothesis

Boucher Breuer, Janice - 1991

Persistent link: https://www.econbiz.de/10000826229

A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model

Ho, Tsung-wu - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 542-559

Persistent link: https://www.econbiz.de/10001782549

The forward rate unbiasedness hypothesis in inflation : targeting regimes

Razzak, W. A. - 1999

Persistent link: https://www.econbiz.de/10001405054

How puzzling is the forward premium puzzle? : A meta-analysis

Zigraiova, Diana; Havránek, Tomáš; Havránková, Zuzana - In: European economic review : EER 134 (2021), pp. 1-30

Persistent link: https://www.econbiz.de/10012695174

Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations

Froot, Kenneth A. - 1986

the spot rate. We use the surveys to decompose the bias into a protion attributable to the risk premium and a portion … attributable to systematic prediction errors. The survey data suggest that our findings of both unconditional and conditional bias …

Persistent link: https://www.econbiz.de/10012477109

LM cointegration tests allowing for an unknown number of breaks : implications for the forward rate unbiasedness hypothesis

Oh, Dong-Yop; Lee, Hyejin - In: Applied economics 49 (2017) 12, pp. 1194-1203

Persistent link: https://www.econbiz.de/10011811265

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