We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests.
- Authors
Maynard, Alex
- Abstract
Recent literature has questioned statistical inference in predictive regression with persistent regressors, suggesting a possible explanation for puzzles such as the forward premium anomaly. We therefore revisit this puzzle using three alternative econometric methods known to provide reliable inference in the presence of persistent conditioning variables. While they provide less evidence against forward rate unbiasedness than traditional predictive regression tests, we still reject using at least one method for all six currencies. Thus, while the econometric problems inherent in predictive regression likely play a role in this anomaly, we are left with an economic puzzle even after accounting for their influence.
- Subjects
REGRESSION analysis; ECONOMETRIC models; MATHEMATICAL statistics; FOREIGN exchange market; AUSTRALIAN dollar; CANADIAN dollar; FRANC (French currency); MARK (German currency); JAPANESE yen; POUND sterling
- Publication
Canadian Journal of Economics, 2006, Vol 39, Issue 4, p1244
- ISSN
0008-4085
- Publication type
Article
- DOI
10.1111/j.1540-5982.2006.00389.x