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dc.contributor.authorHatemi-J, A
dc.contributor.authorRoca, E
dc.contributor.editorMark Taylor
dc.date.accessioned2017-05-03T11:42:12Z
dc.date.available2017-05-03T11:42:12Z
dc.date.issued2012
dc.date.modified2013-06-06T23:09:10Z
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2010.543075
dc.identifier.urihttp://hdl.handle.net/10072/47213
dc.description.abstractWe test the Unbiased Forward Rate (UFR) hypothesis using new tests for cointegration developed by Hatemi-J (2008a) that allows for multiple unknown structural breaks. We analyse the Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY) (versus the US dollar (USD)) spot rates and forward rates relationship during the period 5 January 1999 to 28 December 2006. We find that the UFR does hold when the effects of the unknown structural breaks are taken into account. The parameters that we obtained were close to unity; hence, taking into account transaction cost and the existence of a risk premium, earning arbitrage profits may still not be possible. Thus, the markets for these currencies may still be considered as efficient.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent209822 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom1443
dc.relation.ispartofpageto1448
dc.relation.ispartofissue11
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume44
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchFinancial econometrics
dc.subject.fieldofresearchBanking, finance and investment not elsewhere classified
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350203
dc.subject.fieldofresearchcode350299
dc.titleA re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2012 Taylor & Francis. This is an electronic version of an article published in Applied Economics, Vol.44(11), 2012, pp.1443-1448. Applied Economicsis available online at: http://www.tandfonline.com with the open URL of your article.
gro.date.issued2012
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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