Journal ArticleDOI
Forward and spot exchange rates
Reads0
Chats0
TLDR
In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.About:
This article is published in Journal of Monetary Economics.The article was published on 1984-11-01. It has received 2217 citations till now. The article focuses on the topics: Forward exchange rate & Forward premium anomaly.read more
Citations
More filters
Journal ArticleDOI
Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float
TL;DR: In this article, the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983, but not in the 15-day or 90-day markets.
Posted Content
A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
TL;DR: In this article, the authors proposed a new method for bubble detection, which does not require the specification of the process followed by fundamentals, it is not affected by a possible explosive root of the determinants of the asset price, and provides a date-stamping strategy.
Journal ArticleDOI
The forward rate unbiasedness hypothesis revisited
TL;DR: In this article, it was shown that while using longer-term (1-year) forward exchange rates are also more suitable than shorter-term rates for testing the forward exchange rate unbiasedness hypothesis (FRUH) the test is sensitive to the choice of the numeraire currency, i.e. the US dollar, the Deutsche mark (DM) or the Japanese yen.
Journal ArticleDOI
Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
TL;DR: This paper proposed a two-step procedure that rebalances the predictive regression by fractionally differencing the predictor based on a first-stage estimation of the memory parameter, which can yield improved power over cases in which an integer order is assumed for the regressor.
Journal ArticleDOI
International capital asset pricing: Evidence from options
TL;DR: In this paper, the authors study the risk dynamics and pricing in international economies through a joint analysis of the time-series returns and option prices on three equity indexes underlying three economies: the S&P 500 Index of United States, the FTSE 100 Index of the United Kingdom, and the Nikkei-225 Stock Average of Japan.
References
More filters
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
TL;DR: In this paper, a method of estimating the parameters of a set of regression equations is reported which involves application of Aitken's generalized least-squares to the whole system of equations.
Journal ArticleDOI
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal ArticleDOI
An intertemporal asset pricing model with stochastic consumption and investment opportunities
TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.