Testing the Persistence of the Forward Premium: Structural Changes or Misspecification?

Tsung Wu Ho, Wan Shin Mo*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

摘要

This study investigates whether the ignored structural break causes the forward premium non-stationary. This paper proposes to test for the presence of unit root with multiple structural breaks. We find that, as long as the dynamic lag structure is specified, the forward premium exhibits a non-stationary process even if structural breaks are accounted for and points to no evidence of moving toward stationarity. Given our findings, the structural change model seems less robust in explaining the forward premium puzzle.

原文英語
頁(從 - 到)119-138
頁數20
期刊Open Economies Review
27
發行號1
DOIs
出版狀態已發佈 - 2016 2月 1
對外發佈

ASJC Scopus subject areas

  • 經濟學與計量經濟學

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