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題名：What Is Wrong with Market-Based Forecasting of Exchange Rates?
書刊名：International Journal of Business and Economics
作者：Moosa, Imad A.
出版日期：2004
卷期：3:2
頁次：頁107-121
主題關鍵詞：Market-based forecasting；Random walk；Unbiased efficiency；Covered interest parity
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:12
Market-based forecasting of exchange rates is flawed because it is based on two hypotheses that are not supported by empirical evidence: the simple random walk hypothesis and the unbiased efficiency hypothesis. By using historical data on six currency combinations it is shown that these two hypotheses are rejected because of the presence of a significant time-varying drift factor and what is typically perceived as a risk premium. It is also shown that the model representing the unbiased efficiency hypothesis is misspecified because the relationship between the spot and forward exchange rates is contemporaneous rather than lagged. The results cast doubt on the usefulness of the spot and lagged forward rates as benchmarks for measuring the forecasting power of time series and structural models. It is also demonstrated that market-based forecasting may lead to faulty financial decisions.
期刊論文
1.Moosa, I. A.(2002)。A test of the post Keynesian hypothesis on expectation formation in the foreign exchange market。Journal of Post Keynesian Economics，24，443-457。  new window
2.Harrison, J. Michael、Kreps, David M.(1978)。Speculative investor behavior in a stock market with heterogeneous expectations。Quarterly Journal of Economics，92(2)，323-336。  new window
3.Davidson, P.(1982)。Rational Expectations: A Fallacious Foundation for Studying Crucial Decision Making Processes。Journal of Post Keynesian Economics，5，182-198。  new window
4.Chavas, J. P.(1999)。On the Economic Rationality of Market Participants: The Case of Expectations in the U.S. Pork Market。Journal of Agricultural and Resource Economics，24，19-37。  new window
5.Harvey, J. T.(1999)。The Nature of Expectations in the Foreign Exchange Market: A Test of Competing Theories。Journal of Post Keynesian Economics，21，181-200。  new window
6.Zhu, Z.(2002)。Time-Varying Forward Bias and the Expected Excess Return。Journal of International Financial Markets, Institutions and Money，12，119-137。  new window
7.Wolff, C. C. P.(1987)。Time Varying Parameters and the Out of sample Forecasting Performance of Structural Exchange Rate Models。Journal of Business and Economic Statistics，42，395-406。  new window
8.Cartapanis, A.(1996)。L'Heterogeneite des Anticipations dans les Modeles de Change。Economie Appliquee，49，173-205。  new window
9.Ito, T.(1990)。Foreign Exchange Rate Expectations: Micro Survey Data。American Economic Review，80，434-449。  new window
10.Varian, H. R.(1985)。Divergence of opinion in complete markets。Journal of Finance，40(1)，309-317。  new window
11.Moosa, I. A.(1999)。Testing the Currency-Substitution Model under the German Hyperinflation。Journal of Economics，70，61-78。  new window
12.Wang, Fukuo-Albert(1998)。Strategic Trading, Asymmetric Information and Heterogeneous Prior Beliefs。Journal of Financial Markets，1(3/4)，321-352。  new window
13.Wang, P.、Jones, T.(2002)。Testing for Efficiency and Rationality in Foreign Exchange Markets: A Review of the Literature and Research on Foreign Exchange Market Efficiency and Rationality with Comments。Journal of International Money and Finance，21，223-239。  new window
14.Frechette, D. L.、Weaver, R. D.(2001)。Heterogenous Expectations of Traders in Speculative Futures Markets。Journal of Futures Markets，21，429-446。  new window
15.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14(1/2)，3-24。  new window
16.Dufey, G.、Kazemi, H. B.(1991)。Demand and Supply of Forward Exchange Contracts under Incomplete Information。Journal of Economics and Business，43，339-352。  new window
17.Harris, M.、Raviv, A.(1993)。Differences of Opinion Makes: A Horse Race。Review of Financial Studies，6，473-506。  new window
18.Brock, W. A.、Hommes, C. H.(1997)。A rational route to randomness。Econometrica，65(5)，1059-1096。  new window
19.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
20.Engle, Charles(1996)。The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence。Journal of Empirical Finance，3(2)，123-192。  new window
會議論文
1.Weaver, R. D.、Zhang, Y.(1999)。Volatility of Market Prices: The Role of Heterogeneous Expectations。The Annual Meetings of the American Agricultural Economic Association。Nashville, TN。  new window
圖書
1.Moosa, I. A.(2000)。Exchange Rate Forecasting : Techniques and Applications。London, UK：Macmillan。  new window
2.Harvey, A. C.(1989)。Forecasting, Structural Time Series Models and the Kalman Filter。Cambridge：Cambridge University Press。  new window
3.Koopman, S. J.、Harvey, A. C.、Doornik, J. A.、Shephard, N.(1995)。STAMP 5.0: Structural Time Series Analyser, Modeller and Predictor。London：Chapman and Hall。  new window
圖書論文
1.Lewis, K. K.(1995)。Puzzles in International Financial Markets。Handbook of International Economics。Amsterdam：North-Holland。  new window
 
 
 
 
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