Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests

DOI10.1023/A:1025360726358zbMath1047.91534OpenAlexW1526797262MaRDI QIDQ1410504

Su Zhou, Ali M. Kutan

Publication date: 14 October 2003

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025360726358

zbMATH Keywords

predictabilitymarket efficiencystructural breakforward and spot ratesrolling cointegration tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Testing the persistence of the forward premium: structural changes or misspecification?

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