IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v8y1999i4p433-453.html
   My bibliography  Save this article

Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests

Author

Listed:
  • Choudhry, Taufiq

Abstract

No abstract is available for this item.

Suggested Citation

  • Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
    • Handle: RePEc:eee:reveco:v:8:y:1999:i:4:p:433-453
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059-0560(99)00023-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. McFarland, James W & McMahon, Patrick C & Ngama, Yerima, 1994. "Forward exchange rates and expectations during the 1920s: A re-examination of the evidence," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 627-636, December.
    2. Jeremy J. Siegel, 1972. "Risk, Interest Rates and the Forward Exchange," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(2), pages 303-309.
    3. 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.
    4. Sibert, Anne, 1989. "The Risk Premium in the Foreign Exchange Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(1), pages 49-65, February.
    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
    7. Phillips, Peter C. B. & McFarland, James W., 1997. "Forward exchange market unbiasedness: the case of the Australian dollar since 1984," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 885-907, December.
    8. Jacob A. Frenkel, 1980. "Exchange Rates, Prices and Money: Lessons from the 1920s," NBER Working Papers 0452, National Bureau of Economic Research, Inc.
    9. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
    10. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    11. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "Exogeneity and forward rate unbiasedness," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 267-274, April.
    12. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
    13. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
    14. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October.
    15. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
    16. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
    17. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    18. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    19. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    20. Hakkio, Craig S & Sibert, Anne, 1995. "The Foreign Exchange Risk Premium: Is It Real?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 301-317, May.
    21. Goodhart, Charles A E & McMahon, Patrick C & Ngama, Yerima Lawan, 1992. "Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 39(2), pages 129-140, May.
    22. Frenkel, Jacob A, 1980. "Exchange Rates, Prices, and Money: Lessons from the 1920's," American Economic Review, American Economic Association, vol. 70(2), pages 235-242, May.
    23. W. L. Chou & Y. C. Shih, 1997. "Long-run purchasing power parity and long-term memory: evidence from Asian newly industrialized countries," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 575-578.
    24. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March.
    25. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
    26. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    27. Corbae, Dean & Lim, Kian-Guan & Ouliaris, Sam, 1992. "On Cointegration and Tests of Forward Market Unbiasedness," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 728-732, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pål Boug & Andreas Fagereng, 2010. "Exchange rate volatility and export performance: a cointegrated VAR approach," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 851-864.
    2. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2523-2533.
    3. Lee, Chien Chiang & Chang, Chun Ping, 2012. "The Demand for Money in China: A Reassessment Using the Bounds Testing Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 74-94, March.
    4. 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.
    5. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc.
    6. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    7. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Choudhry, Taufiq, 1999. "Purchasing Power Parity in High-Inflation Eastern European Countries: Evidence from Fractional and Harris-Inder Cointegration Tests," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 293-308, April.
    3. Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
    4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    5. 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.
    6. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
    7. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 7(1), pages 325-353, May.
    8. Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
    9. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2008. "Testing the forward rate unbiasedness hypothesis during the 1920s," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 358-373, October.
    10. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    11. Ho, Tsung-Wu, 2003. "A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 542-559.
    12. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
    13. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
    14. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, October.
    15. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
    16. Michael J. Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis.
    17. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
    18. Zigraiova, Diana & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2021. "How puzzling is the forward premium puzzle? A meta-analysis," European Economic Review, Elsevier, vol. 134(C).
    19. Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
    20. Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:8:y:1999:i:4:p:433-453. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.