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Spot-forward cointegration, structural breaks and FX market unbiasedness

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  • Villanueva, O. Miguel

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  • Villanueva, O. Miguel, 2007. "Spot-forward cointegration, structural breaks and FX market unbiasedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 58-78, February.
    • Handle: RePEc:eee:intfin:v:17:y:2007:i:1:p:58-78
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    6. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
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    8. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
    9. Barnhart, Scott W. & Szakmary, Andrew C., 1991. "Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(2), pages 245-267, June.
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    12. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 715-734, Nov.-Dec..
    13. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
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    19. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
    20. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    21. Ali Kutan & Su Zhou, 2003. "Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests," Open Economies Review, Springer, vol. 14(4), pages 369-379, October.
    22. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
    23. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    24. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 1999. "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 359-376, November.
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    Cited by:

    1. Kentaro Iwatsubo & Yoshihiro Kitamura, 2009. "Intraday evidence of the informational efficiency of the yen/dollar exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1103-1115.
    2. Kan, Denis & Andreosso-O'Callaghan, B., 2007. "Examination of the efficient market hypothesis--the case of post-crisis Asia Pacific countries," Journal of Asian Economics, Elsevier, vol. 18(2), pages 294-313, April.
    3. Bai, Shuming & Mollick, Andre Varella, 2010. "Currency crisis and the forward discount bias: Evidence from emerging economies under breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 556-574, December.
    4. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
    5. Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook, 2010. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 957-966, December.
    6. Abdulnasser Hatemi-J & Eduardo Roca, 2012. "A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(11), pages 1443-1448, April.

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