| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6503 |
| DP6503 On Seller Estimates and Buyer Returns | |
| Flavio Toxvaerd; Alex Gershkov | |
| 发表日期 | 2007-10-05 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate continuous-time model for exchange rates and forward premia robust to temporal aggregation, unlike the discrete time models in the literature. We obtain the UIP restrictions on the continuous-time model parameters, which we estimate efficiently, and propose a novel specification test that compares estimators at different frequencies. Our empirical results based on correctly specified models reject UIP. |
| 主题 | Financial Economics |
| 关键词 | Exchange rates Forward premium puzzle Hausman test Interest rates Orstein-uhlenbeck process Temporal aggregation |
| URL | https://cepr.org/publications/dp6503 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535342 |
| 推荐引用方式 GB/T 7714 | Flavio Toxvaerd,Alex Gershkov. DP6503 On Seller Estimates and Buyer Returns. 2007. |
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