PROFITS, RISK, AND UNCERTAINTY IN FOREIGN-EXCHANGE MARKETS

• 成果类型: Article
• 署名作者: CANOVA, F; MARRINAN, J
• 署名单位: European University Institute; Boston College
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(93)90005-Z
• 发表日期: 1993
• 页码: 259-286
• 关键词: Exchange rates; time series models; STATISTICAL SIMULATION METHODS

摘要

This paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous processes. The model is simulated by estimating exogenous processes from the data and the remaining free parameters with a simulated method-of-moments technique. Simulated expected profits are variable, heteroskedastic, and serially correlated, but the magnitude of these second moments fall short of those of the predictable component of observed profits on the U.S. dollar. As in the actual data simulated forward rates display biasedness in predicting simulated future spot rates.