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Efficiency in the forward exchange market - an application of co-integration - a comment

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File Type:
PDF
Item Type:
Journal article
Date:
1989
Author:
Leddin, A
Citation:
pp281-285
Download Item:
Link to the full text item v20n31989_9.pdf  (PDF)  211.3Kb
Abstract:
In a recent edition of the Review, Lucey (1988) finds evidence of forward exchange market inefficiency using the co-integration technique. His results relate to sterling and the dollar and are based on daily spot and one month forward exchange rates. One hundred observations were used starting in December 1987. In the Lucey paper, the data overlap (the sampling period is smaller than the forecast period) and this can result in residual auto??__correlation. Hansen and Hodrick (1980) andHsieh (1982) have shown that this problem can be overcome if a Generalised Least Squares estimation procedure is used. It is desirable to use overlapping data where possible to overcome the data shortage problem.
URI:
http://hdl.handle.net/2262/68587
Author: Leddin, A
Publisher:
Economic & Social Studies
Type of material:
Journal article
URI:
http://hdl.handle.net/2262/68587
Collections:
  • The Economic and Social Review, Vol. 20, No. 3, April 1989
  • Economic and Social Review Archive: Complete Collection 1969-
Series/Report no:
Economic and Social Review
Vol.20, No. 3, April 1989
Availability:
Full text available
Keywords:
Forward exchange, Economics
ISSN:
0012-9984
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