Detail Long memory and the forward discount anomaly Bibliografi Author: Phillips, Peter C.B. (Advisor); Maynard, Alex Stevens Topik: ECONOMICS; GENERAL|ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-57557-3     Penerbit: Yale University Press     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9954342.pdf (4.0MB; 1 download) Abstract Puzzling negative estimates from uncovered interest parity (UIP) regressions have led previous researchers to the conclusion that the forward premium tends to predict the spot return with the wrong sign. This implies a reversal of UIP and has also proved difficult to reconcile with traditional models of international finance. The standard interpretation of these results relies heavily on the assumption of a stationary forward premium. This assumption, while reasonable on theoretical grounds, has been questioned in recent empirical studies. The latest survey of the field by Engel reports conflicting evidence regarding the long run (1:1) relationship between the spot and forward rates and raises the question of whether the forward premium involves unit root nonstationarity. The first chapter of the dissertation provides a brief introduction and then discusses several possible economic interpretations for why one might observe strongly persistent or even locally nonstationary behavior in the forward premium. The second chapter then illustrates the potential impact that even a small failure of 1:1 cointegration in exchange rate levels can have on the UIP regression. Proceeding from the implication that the forward premium contains a unit root, the slope estimate in this regression is shown to converge to zero and its limiting distribution is found to be capable of generating the type of negative estimates that often appear in empirical work. The third chapter confirms recent evidence in favor of long-memory behavior in the forward premium and then reevaluates the most common exchange rate regressions in the light of this finding. Perhaps most importantly, the UIP regression is found to suffer a statistical imbalance. One simply cannot explain a stationary variable, such as the spot return, in terms of a stochastically trending regressor. The puzzling negative estimates that appear in these regressions can be understood in terms of a left tailed limiting distribution and the divergence of the t statistic causes the coefficients frequently to appear significant. The long memory behavior of the forward premium may therefore help to account for some of the most troubling aspects of the forward discount anomaly. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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