Understanding spot and forward exchange rate regressions

Weike Hai · Nelson Chung Mark · Yangru Wu

155 citations0/0 files storedJournal of Applied Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent–transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets are persistent and reasonable in magnitude. They also exhibit sign fluctuations and negative covariance with the estimated expected depreciation. © 1997 John Wiley & Sons, Ltd.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 155 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1976Expectations and Exchange Rate Dynamics 1992Efficient Tests for an Autoregressive Unit Root 1988Dividend yields and expected stock returns 1988Stock Prices, Earnings, and Expected Dividends 1984Forward and spot exchange rates

Cited by

2008An Economic Evaluation of Empirical Exchange Rate Models 1998Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise 2004Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis 2011Short-run forecasting of the euro-dollar exchange rate with economic fundamentals 2000Cointegration and forward and spot exchange rate regressions 2020Bond Convenience Yields and Exchange Rate Dynamics

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.