haku: @indexterm FORWARD EXCHANGE RATES / yhteensä: 2
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| Tekijä: | Tauchen, G. |
| Otsikko: | The bias of tests for a risk premium in forward exchange rates |
| Lehti: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 695-704 |
| Asiasana: | EXPECTATIONS FORWARD EXCHANGE RATES RISK PREMIUM |
| Kieli: | eng |
| Tiivistelmä: | The pure expectations theory of unbiased forward exchange rates predicts that the slope coefficient in a regression of the change in the spot rate on the difference between the current forward and spot rates should equal unity. This paper demonstrates that under the expectations theory, the sampling distribution of the regression estimator of this coefficient is upward-biased relative to unity and strongly skewed to the right. |
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