Long memory and structural changes in the forward discount: An empirical investigation

Kyongwook Choi, Eric Zivot

Research output: Contribution to journalArticlepeer-review

67 Scopus citations

Abstract

We analyze the evidence for long memory and structural changes in the five G7 countries' forward discount. We establish evidence for long memory by estimating the long memory parameter without allowing for structural breaks. We also document evidence for multiple structural breaks in the mean of the forward discount. We then adjust for structural changes in the forward discount rate and re-estimate the long memory parameter. After removing the breaks, we still find evidence of stationary long memory in each country's forward discount.

Original languageEnglish
Pages (from-to)342-363
Number of pages22
JournalJournal of International Money and Finance
Volume26
Issue number3
DOIs
StatePublished - Apr 2007

Keywords

  • Exchange rates
  • Forward discount rate unbiased hypothesis
  • Long memory
  • Structural changes

Fingerprint

Dive into the research topics of 'Long memory and structural changes in the forward discount: An empirical investigation'. Together they form a unique fingerprint.

Cite this