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

研究成果: 雜誌貢獻期刊論文同行評審

摘要

This paper augments the empirical literature by testing the unbiasedness hypothesis of the U.S. foreign exchange market in a panel-based framework. Specifically, the dynamic seemingly unrelated estimator (Mark, Ogaki, & Sul, 2000) is applied to test parameter restrictions and cointegration, in additional to accounting for the cross-currency dependence. Evidence from daily data of 17 currencies indicates that although cointegration is confirmed, both the tests of parameter restrictions and the presence of serial correlation do not favor the unbiasedness hypothesis satisfactorily.

原文英語
頁(從 - 到)542-559
頁數18
期刊Quarterly Review of Economics and Finance
43
發行號3
DOIs
出版狀態已發佈 - 2003
對外發佈Yes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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