Nonlinearity as an explanation of the forward exchange rate anomaly
This article 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.
Year of publication: |
2010
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Authors: | Bond, Derek ; Harrison, Michael ; Hession, Niall ; O'Brien, Edward |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 13, p. 1237-1239
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Publisher: |
Taylor & Francis Journals |
Saved in:
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