The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
Abstract
This paper examines the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the logarithm of the future spot rate. A new computationally tractable econometric methodology for examining restrictions on a k-step-ahead forecasting equation is employed. Using data sampled more finely than the forecast interval, we are able to reject the simple market efficiency hypothesis for exchange rates from the 1970s and the 1920s. For the modern experience, the tests are also inconsistent with several alternative hypotheses which typically characterize the relationship between spot and forward exchange rates.
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Citations
Cites
Asset Prices in an Exchange Economy
Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
Specification Searches: Ad Hoc Inference with Non-Experimental Data.
Richard, J.-F., & Leamer, E. E. (1981) · Economica · doi:10.2307/2553491 · Cited by 1,114
Information, futures prices, and stabilizing speculation
Danthine, J.-P. (1978) · Journal of Economic Theory · doi:10.1016/0022-0531(78)90124-2 · Cited by 391
Sharing rules and equilibrium in an international capital market under uncertainty
Grauer, F. L. A., Litzenberger, R. H., & Stehle, R. E. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90005-2 · Cited by 384
THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION
Frenkel, J. A. (1977) · American Economic Review · Cited by 271
Cited by
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Self-citationDoes financial liberalization spur growth?
BEKAERT, G., HARVEY, C., & LUNDBLAD, C. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.05.007 · Cited by 2,012
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Self-citationForecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Metadata
- Authors
- Hansen, L. P., & Hodrick, R. J.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1980-10
- Volume
- 88
- Issue
- 5
- Pages
- 829-853
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2093503007
- Cited by
- 2,111
- References
- 6
- FWCI
- 85.10
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hansen, L. P., & Hodrick, R. J. (1980). Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy. https://doi.org/10.1086/260910
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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