haku: @indexterm MONTE CARLO TECHNIQUE / yhteensä: 130
viite: 13 / 130
Tekijä: | Sarno, L. Valente, G. Leon, H. |
Otsikko: | Nonlinearity in deviations from uncovered interest parity: An explanation of the forward bias puzzle |
Lehti: | Review of finance
2006 : VOL. 10:3, p. 443-482 |
Asiasana: | finance Monte Carlo technique simulation regression analysis interest rates bias models |
Kieli: | eng |
Tiivistelmä: | This study provides empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, consistent with theories based on transactions costs or limits to speculation. It is suggested that the forward bias (here as: f-b.) documented may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow reconciling these results with the large empirical literature on the f-b. puzzle since it is shown that, if the true process of UIP deviations were of the nonlinear form considered, estimation of conventional spot-forward regressions would generate the previously documented anomalies. |
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