Foreign Exchange Return Predictability: Rational Expectations Risk Premium vs. Expectational Errors
We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns, representing...
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| Format: | Article |
| Language: | English |
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Korea Institute for International Economic Policy
2018-12-01
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| Series: | East Asian Economic Review |
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| Online Access: | http://dx.doi.org/10.11644/KIEP.EAER.2018.22.4.351 |