Testing The Unbiased Forward Exchange Rate Hypothesis Using A Markov Switching Model And Instrumental Variables
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Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
Author | : Fabio Spagnolo |
Publisher | : |
Total Pages | : 0 |
Release | : 2004 |
Genre | : |
ISBN | : |
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This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within-regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based.
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