Testing the persistence of the forward premium: structural changes or misspecification?

DOI10.1007/S11079-015-9365-9zbMath1412.91166OpenAlexW591547447MaRDI QIDQ2416175

Wan-Shin Mo, Tsung-Wu Ho

Publication date: 23 May 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-015-9365-9

zbMATH Keywords

persistenceforward premium puzzlepredictabilityforward rate unbiasedness hypothesisunit roots with structural changes

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

The predictive performance of the currency futures basis for spot returns

Cites Work

• Solution to the Siegel paradox
• The power of the ADF test
• Spurious regressions in econometrics
• Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Addressing international empirical puzzles: the liquidity of bonds
• Estimating and Testing Linear Models with Multiple Structural Changes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• The forward rate premium puzzle: a case of misspecification?1)

This page was built for publication: Testing the persistence of the forward premium: structural changes or misspecification?