PROFITS, RISK, AND UNCERTAINTY IN FOREIGN-EXCHANGE MARKETS

被引:18
作者
CANOVA, F
MARRINAN, J
机构
[1] EUROPEAN UNIV INST, I-50010 FIESOLE, ITALY
[2] CEPR, MADRID, SPAIN
[3] BOSTON COLL, CHESTNUT HILL, MA 02167 USA
[4] IGIER, I-20090 OPERA, ITALY
关键词
EXCHANGE RATES; TIME SERIES MODELS; STATISTICAL SIMULATION METHODS;
D O I
10.1016/0304-3932(93)90005-Z
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous processes. The model is simulated by estimating exogenous processes from the data and the remaining free parameters with a simulated method-of-moments technique. Simulated expected profits are variable, heteroskedastic, and serially correlated, but the magnitude of these second moments fall short of those of the predictable component of observed profits on the U.S. dollar. As in the actual data simulated forward rates display biasedness in predicting simulated future spot rates.
引用
收藏
页码:259 / 286
页数:28
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