Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71341
Authors: 
Bond, Derek
Hession, Niall
Harrison, Michael J.
O'Brien, Edward J.
Year of Publication: 
2008
Series/Report no.: 
Working Paper Series, UCD Centre for Economic Research 08/01
Abstract: 
This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision: the anomaly disappears.
Subjects: 
Forward exchange rate anomaly
nonlinearity
random field regression
JEL: 
C22
F31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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