Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
构建了一个允许远期市场存在马尔可夫转换风险溢价的模型，利用英美数据检验无偏远期汇率假说，发现使用工具变量控制解释变量与扰动项的相关性后，该假说无法被拒绝。
Abstract This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within‐regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based. Copyright © 2005 John Wiley & Sons, Ltd.