Hai, W., Mark, N. C., Wu, Y., 1997. Understanding spot and forward exchange rate regressions. Journal of Applied Econometrics, 12, 715-734. Home/Search Document Not in Database Summary Related Articles Check |
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The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....t k S and t f should share one common stochastic trend and the realized forecast error t k S t f should be a stationary (that is, an I(0) process. 4 The empirical evidence on the existence of cointegration between t k S and t f is decidedly mixed. Baillie and Bollerslev (1989) and Hai et al. 1997) find that t k S and t f form a cointegrated system with a unitary cointegrating vector. Evans and Lewis (1993) and Alexakis and Apergis (1996) fail to even find a long run relationship between forward and corresponding future spot rates. Ngama (1992) 2 For alternative forms of testing the ....
....series, that is, it must be a stationary process (given the obtained evidence of stationarity for t he forecast error series) There is a debate in the literature regarding the integration order of the forward premium series. Crowder (1994) finds t s t f to be a unit root process whereas Hai et al. 1997) reach the opposite conclusion. Baillie and Bollerslev (1994) find t s t f to be a fractionally integrated process. We apply the JLR test to our panel of forward premium series for the eight currencies and document strong evidence supporting that the forward premium series under consideration ....
Hai, W., N. Mark, and Y. Wu (1997), Understanding spot and forward exchange rate regressions, Journal of Applied Econometrics, 12, 715-734.
Unit root tests and asymmetric adjustment - A reassessment - Berben, van Dijk (1999) (2 citations) (Correct)
....of our F n statistic, while the opposite holds if mean reversion in one or both of the regimes is fast. 5 Empirical illustration The aim of this section is to demonstrate the practical usefulness of the F n statistic. To this end, we use several forward premium series, previously analyzed by Hai, Mark and Wu (1997). More specifically, we analyze the one month ahead forward premium for the US dollar value of the UK pound, the French franc, and the Japanese yen. The data are sampled at the monthly frequency over the period January 1976 to August 1992 (200 observations) We refer to Hai et al. 1997) for a ....
....by Hai, Mark and Wu (1997) More specifically, we analyze the one month ahead forward premium for the US dollar value of the UK pound, the French franc, and the Japanese yen. The data are sampled at the monthly frequency over the period January 1976 to August 1992 (200 observations) We refer to Hai et al. 1997) for a more extensive description of the data. The forward premium y t is defined as y t = f t Gamma s t , where f t and s t denote the logarithms of the forward and spot exchange rates, respectively. We address the question whether the forward premium is nonstationary or can best be described as ....
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Hai, W., N.C. Mark and Y. Wu, 1997, Understanding spot and forward exchange rate regressions, Journal of Applied Econometrics 12, 715-734.
Rethinking the Forward Premium Puzzle in a Nonlinear Framework - Coakley, Fuertes (Correct)
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Hai, W., Mark, N. C., Wu, Y., 1997. Understanding spot and forward exchange rate regressions. Journal of Applied Econometrics, 12, 715-734.
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