Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
远期外汇市场效率的稳健检验：来自20世纪20年代的证据AI 解读 ↓
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AI 根据所提供的论文材料归类：摘要明确讨论协整、随机趋势和序列依赖，并检验远期汇率风险溢价与市场效率。
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远期外汇市场效率的稳健检验：来自20世纪20年代的证据
- 研究问题
- 研究远期汇率是否为未来即期汇率的无偏预测，以及厚尾、随机趋势和序列依赖如何影响外汇市场效率检验。
- 方法与思路
- 作者采用直接处理水平数据的稳健方法，允许观察频率与合约期限不一致，并以自适应方法估计密度尾部斜率。
- 材料陈述的贡献
- 摘要称四种货币均存在远期与即期汇率协整，三种货币支持平稳风险溢价，其中美元支持无偏预测与零均值风险溢价。
- 阅读关注点
- 应核对稳健统计量、尾部条件和期限错配的处理方式，并区分协整、风险溢价平稳与简单市场效率各自的检验。
- 阅读边界
- 摘要未说明稳健方法的具体形式、检验显著性及样本细节；历史样本中的支持证据不能直接推广至其他时期或货币。
原文摘要
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend non-stationarity and general forms of serial dependence. The methods are applied to daily data of spot exchange rates and forward exchange rates during the 1920s, which marked the first episode of a broadly general floating exchange rate system. The tail behaviour of the data is analysed using an adaptive data-based method for estimating the tail slope of the density. The results confirm the need for the use of robust regression methods. We find cointegration between the forward rate and spot rate for the four currencies we consider (the Belgian and French francs, the Italian lira and the US dollar, all measured against the British pound), we find support for a stationary risk premium in the case of the Belgian franc, the Italian lira and the US dollar, and we find support for the simple market efficiency hypothesis (where the forward rate is an unbiased predictor of the future spot rate and there is a zero mean risk premium) in the case of the US dollar.