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Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?
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April 6, 2016
Summary
This study aims to determine whether forward discount represents a long memory or short memory process with multiple changes in the mean. Based on the samples of six currencies from November 3, 1986, to March 6, 1998, using Baek and Pipiras’s (2012, 2014) statistical procedures, our findings suggest that forward discount is a short memory process with multiple changes in the mean rather than long memory. These changes in mean are the result of an intervention by monetary authorities in the forex market. Thus, earlier findings of long memory in forward discount, as reported in the extant literature, are questionable.
Keywords: Long memory; multiple changes in mean; exchange rate; forward rate unbiasedness hypothesis
Online erschienen: 2016-4-6
Erschienen im Druck: 2015-12-1
© 2015 by Lucius & Lucius, Stuttgart
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Keywords for this article
Long memory;
multiple changes in mean;
exchange rate;
forward rate unbiasedness hypothesis
Articles in the same Issue
- Titelei
- Inhalt / Contents
- Abhandlungen / Original Papers
- Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
- Staying Within or Leaving the Apprenticeship System? Revisions of Educational Choices in Apprenticeship Training
- Ersatzraten in der Gesetzlichen Rentenversicherung / Replacement Rates in the German Statutory Pension System
- Does Participation Increase Outcome Acceptance? Evidence from a Power-to-take Experiment
- Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time Series Analysis of the CFTC Reports for Wheat, Corn and Soybeans
- Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?
- Growth Regressions, Principal Components Augmented Regressions and Frequentist Model Averaging
- Buchbesprechungen / Book Reviews
