Nonlinearity as an explanation of the forward exchange rate anomaly
|Title:||Nonlinearity as an explanation of the forward exchange rate anomaly||Authors:||Bond, D. (Derek)
Harrison, Michael J.
O'Brien, Edward J. (Edward Joseph)
|Permanent link:||http://hdl.handle.net/10197/1272||Date:||Jan-2008||Abstract:||This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision: the anomaly disappears.||Type of material:||Working Paper||Publisher:||University College Dublin. School of Economics||Series/Report no.:||UCD Centre for Economic Research Working Paper Series; WP08/01||Keywords:||Forward exchange rate anomaly; Nonlinearity; Random field regression||Subject LCSH:||Foreign exchange
|Other versions:||http://www.ucd.ie/economics/research/papers/2008/WP08.01.pdf||Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Economics Working Papers & Policy Papers|
Show full item record
Page view(s) 20120
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.