Long memory and structural changes in the forward discount: An empirical investigation

被引：65

作者：

Choi, Kyongwook ^{[1
]}

Zivot, Eric

机构：

[1] Ohio Univ, Dept Econ, Athens, OH 45701 USA

[2] Univ Washington, Dept Econ, Seattle, WA 98195 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2007年 / 26卷 / 03期

关键词：

long memory; structural changes; forward discount rate unbiased hypothesis; exchange rates;

D O I：

10.1016/j.jimonfin.2007.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the evidence for long memory and structural changes in the five G7 countries' forward discount. We establish evidence for long memory by estimating the long memory parameter without allowing for structural breaks. We also document evidence for multiple structural breaks in the mean of the forward discount. We then adjust for structural changes in the forward discount rate and re-estimate the long memory parameter. After removing the breaks, we still find evidence of stationary long memory in each country's forward discount. (c) 2007 Elsevier Ltd. All rights reserved.

引用

页码：342 / 363

页数：22

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