Measuring noise in exchange rate models

• 成果类型: Article
• 署名作者: Konuki, T
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00043-9
• 发表日期: 1999
• 页码: 255-270
• 关键词: spot-forward exchange rate relationship; MODEL NOISE

摘要

This paper conducts a race between models in terms of their ability to explain observed violations of uncovered interest parity. This is done by comparing the empirical performance of the 'simple efficiency' hypothesis and the models which assume the existence of risk premiums. My analysis uses noise ratios which complement specification tests by showing the relative degree to which each model reconciles with the data. The empirical results imply that the risk premiums introduced by the latent variable model could significantly explain the deviation of forward exchange rates from the expected future spot rates. (C) 1999 Elsevier Science B.V. All rights reserved.