Further tests on the forward exchange rate unbiasedness hypothesis
| dc.contributor.author | Sosvilla Rivero, Simón Javier | |
| dc.date.accessioned | 2023-06-21T01:35:13Z | |
| dc.date.available | 2023-06-21T01:35:13Z | |
| dc.date.issued | 1991 | |
| dc.description.abstract | In this paper we reexamine the evidence on the forward rate unbiasedness hypothesis for the main currencies vis-à-vis the U.S. Dollar exchange rate using the Phillips and Hansen (1990) estimation and inference procedure. | |
| dc.description.department | Decanato | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.status | unpub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/26332 | |
| dc.identifier.relatedurl | http://economicasyempresariales.ucm.es/working-papers-ccee | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64082 | |
| dc.issue.number | 30 | |
| dc.language.iso | eng | |
| dc.page.total | 25 | |
| dc.publication.place | Madrid, España | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Decanato | |
| dc.relation.ispartofseries | Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Exchange rate | |
| dc.subject.keyword | Unbiasedness | |
| dc.subject.ucm | Dinero | |
| dc.subject.unesco | 5304.06 Dinero y Operaciones Bancarias | |
| dc.title | Further tests on the forward exchange rate unbiasedness hypothesis | |
| dc.type | technical report | |
| dc.volume.number | 1991 | |
| dcterms.references | Baillie, R. T. and Bollersiev, T. (1987) On Unit Roots and the Cointegrability of Daily Spot and Forward Exchange Rates, Econometrics and Economic Theory Paper No. 8701, Michigan State University. Baillle, R.T. and P. McMahon (1989) The Foreign Exchange Market: Theory and Econometric Evidence, Cambridge University Press, Cambridge. Burridge, P. and Ngama, Y. L. (1990) Testing the Forward Exchange Rate Unbiasedness Hypothesis, Discussion Paper in Economics No. 90/15, Department of Economics, University of Birmingham. Dickey, D. A. and Pantula, S. G. (1987) Determining the Order of Differencing in Autoregressive Processes, Journal of Business and Economic Statistics, 15, 455-61. Dolado, J. J., Jenkinson, T. and Sosvilla-Rivero, S. (1990) Cointegration and Unit Roots, Journal of Economic Surveys, 4, 249-273. Fama, E. F. (1965) Random Walks In Stock Market Prices, Financial Analysts Journal, 21 (S), 55-59. Frenkel, J. A. (1977) The Forward Exchange Rate, Expectations, and the Demand for Money: The German Hyperlnflation, American Economic Review, 67, 653-70. Frenkel, J. A. (1980) Exchange Rates, Prices and Money: Lessons from 1920s, American Economic Review, Papers and Proceedings, 70, 235-42. Fuller, W. A. (1976). Introduction to Statistical Time Series, John 16 Wiley and Sons, New York. Hodrick, R. J. (1987) The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets, Harwood Academic Publishers, Chur, Switzerland. Meese, R. and Singleton, K. (1982) A Note on Unit Roots and the Empirical Modelling of Exchange Rates, Journal of Finance, 37, 1029-35. Newey, W. K. and West, K. D. (1987) A Simple Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703-08. Perron, P. (1988) Trends and Random Walks in Macroeconomic Time-Series: Further Evidence from a New Approach, Journal of Economic Dynamic and Control, 56, 297-332. Phillips, P. C. B. and Durlauf, S. N. (1986) Multiple Time Series with Integrated Variables, Review of Economic Studies, 53, 311-40. Phillips, P. C. B. and Hansen, B. (1990) Statistical Inference in Instrumental Variables Regression with 1(1) Processes, Review of Economic Studies, 57, 99-125. Phillips, P. C. B. and Ouliaris, S. (1990) Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, 58, 165-93. Phillips, P. C. B. and Perron, P. (1988) Testing for Unit Root in Time Series, Biometrika, 75, 335-46. Sosvilla-Rivero, S., 1990, Modelling the Spanish Peseta: Theory and econometric evidence from the 1970s and 19805, Ph. D. Thesis, The University of Birmingham. West, K. (1988) Asymptotic Normality when Regressors Have a Unlt Root, Biometrlka, 67, 365-73. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 13e83682-e923-4f28-a770-1140d295a334 | |
| relation.isAuthorOfPublication.latestForDiscovery | 13e83682-e923-4f28-a770-1140d295a334 |
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