Cointegration and forward and spot exchange rate regressions

By Eric Zivot. 2000

114 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/fcb43dc7b76bd083c684438b1d0fbd1147b0ade7

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In Economics and Econometrics

1. Kyongwook Choi
2. Eric Zivot
3. B. Hansen
4. Mohamed Arouri
5. Tālis J. Putniņš
6. James Morley
7. Duc Khuong Nguyen

Citations in the corpus

• Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation (2007, background): “…consider the following decomposition for the forward exchange rate due to Fama (1984): 1 1 1t t t tf s rp u+ + += + + , (7) 2 See Engel (1996) and Zivot (2000) for a review. where 1 1,t trp u+ + are next period's rational expectations risk premium and rational expectations forecast error term.”
• Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era (2002, unknown): “Zivot (2000) argues for testing the cointegrating vector involving the contemporaneous forward and spot rate, while Villanueva (1999) reports results demonstrating that lagged forecast errors yield more unambiguous results.”