In this article we develop a model for exchange rate dynamics in an economy that exhibitsregime shifts. The switching of regimes is modulated by a Markov chain in discrete time.A description of the foreign exchange market and of its stylised features is given. Finally,unbiased forward exchange rate hypothesis (UFER) is tested in the context of the US-dollar/UK-pound spot and forward exchange rates.

An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

RUSSO, EMILIO
;
2007

Abstract

In this article we develop a model for exchange rate dynamics in an economy that exhibitsregime shifts. The switching of regimes is modulated by a Markov chain in discrete time.A description of the foreign exchange market and of its stylised features is given. Finally,unbiased forward exchange rate hypothesis (UFER) is tested in the context of the US-dollar/UK-pound spot and forward exchange rates.
978-0-387-71081-5
exchange rate dynamics, structured change, unbiased forward exchange rate hypothesis
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11770/181693
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