Natalya Delcoure, John Barkoulas, et al.  Home/Search
Context
Related
| bc.edu/ecp/wp464.pdf Cached: PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
PS.gz PS Image Update HelpFrom: bc.edu/ecv/baum.fac (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: Under conditions of risk neutrality and rational expectations in the foreign exchange market, there should be a one-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the unbiasedness hypothesis of the forward rate have produced mixed findings. In order to exploit significant cross-sectional dependencies, we test the unbiasedness hypothesis using a new multivariate (panel) unit-root test, the Johansen likelihood ratio... (Update)
Similar documents (at the sentence level):
9.9%: FORWARD PREMIUMS AND MARKET EFFICIENCY: Panel Unit-root.. - Barkoulas, Baum, al. (Correct)
Active bibliography (related documents): More All
1.0: Unit-Root Tests And Excess Returns - Godbout, van Norden (Correct)
0.5: Rethinking the Forward Premium Puzzle in a Nonlinear Framework - Coakley, Fuertes (Correct)
0.5: Productivity and Convergence across U.S. States and.. - Andrew Bernard Cambridge (Correct)
System load high. Please wait...
Timeout. Please try your query later.
Similar documents based on text: More All
0.7: Dynamics Of Intra-Ems Interest Rate Linkages - Baum, Barkoulas (Correct)
0.2: Design of Trust Metrics Based on Dempster-Shafer Theory - Teng, Phoha, Choi (Correct)
0.2: Unbiasedness in Least Quantile Regression - Tasche (2001) (Correct)
BibTeX entry: (Update)
@misc{ delcoure-forward,
author = "Natalya Delcoure and John Barkoulas and et al.",
title = "The Forward Rate Unbiasedness Hypothesis Reexamined: Evidence From A New
Test",
url = "citeseer.ist.psu.edu/402864.html" }
Citations (may not include all citations):139 Cointegration and error correction: Representation (context) - Engle, Granger - 1987
123 Autoregressive conditional heteroscedasticity with estimates.. (context) - Engle - 1982
39 Unit root tests in panel data: Asymptotic and finite sample .. (context) - Levin - 1992
21 Forward exchange rates as optimal predictors of future spot .. (context) - Hansen, Hodrick - 1980
14 Testing for unit roots in heterogeneous panels (context) - Im, Pesaran - 1995
12 The overvaluation of purchasing power parity (context) - O'Connell - 1998
9 Cointegration in partial systems and the efficiency of singl.. (context) - Johansen - 1992
9 Common stochastic trends in a system of exchange rates (context) - Baillie, Bollerslev - 1989
9 The forward discount anomaly and the risk premium: A survey .. (context) - Engel - 1996
7 The long memory of the forward premium (context) - Baillie, Bollerslev - 1994
6 Do long-term swings in the dollar affect estimates of the ri.. (context) - Evans, Lewis - 1995
6 The foreign exchange market: Theory and econometric evidence (context) - Baillie, McMahon - 1989
6 Trends in excess returns in currency and bond markets (context) - Evans, Lewis - 1993
6 Unit root tests in panel data: New results (context) - Levin, Lin - 1993
4 Foreign exchange market efficiency and common stochastic tre.. (context) - Crowder - 1994
4 On unit roots and the empirical modeling of exchange rates (context) - Meese, Singleton - 1982
3 Understanding spot and forward exchange rate regressions (context) - Hai, Mark et al. - 1997
2 Common stochastic trends between forward and spot exchange r.. (context) - Luintel, Paudyal - 1998
2 ARCH effects and cointegration: Is the foreign exchange mark.. (context) - Alexakis, Apergis - 1996
1 Testing for efficiency in the forward exchange market (context) - Moore - 1992
1 A cointegration test for market efficiency (context) - Lai, Lai - 1991
1 Rationality of survey data and tests for market efficiency i.. (context) - Liu, Maddala - 1992
1 Risk interest rates and the forward exchange (context) - Siegel - 1972
1 Testing the efficiency of thin forward exchange markets: An .. (context) - Ngama - 1992
Documents on the same site (http://fmwww.bc.edu/ec-v/baum.fac.html): More
FORWARD PREMIUMS AND MARKET EFFICIENCY: Panel Unit-root.. - Barkoulas, Baum, al. (Correct)
Nonlinear Effects of Exchange Rate Volatility on the.. - Baum, Caglayan, Ozkan (2000) (Correct)
Dynamics Of Intra-Ems Interest Rate Linkages - Baum, Barkoulas (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC