The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach
用随机系数模型检验1974年1月至1983年8月间的无偏远期汇率假说，发现全样本支持该假说，但子样本检验显示参数不稳定，多数情况下应拒绝假说，且考虑参数随机性可提高汇率预测精度。
This paper develops a stochastic coefficient model to examine the unbiased forward rate hypothesis for the period January 1974 to August 1983. Tests from the full-sample estimations confirm the null hypothesis. However, the re sults from the Brown-Durbin-Evans (1975) test and the Chow test indic ate that the exchange-rate behavior departs from parameter constancy. Using joint-rolling regressions for the subsample estimations, the a uthor finds evidence that the unbiasedness hypothesis in most cases s hould be rejected and that the estimated parameters, sensitive to new information, vary through different subsample periods. The out-of-sa mple test concludes that incorporation of the stochastic properties o f the parameters into the model improves accuracy of exchange-rate pr edictions. Copyright 1988 by Ohio State University Press.