Autori: Canova, Fabio, Marrinan, Jane
Titolo: Profits, risk and uncertainty in foreign exchange markets
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1992 - Fascicolo: 73 - Pagina iniziale: 1 - Pagina finale: 30

This paper examines the time series properties of nominal profits from speculation in dollar denominated forward contracts using a representative agent cash-in-advance model, modified to allow for time variation in the conditional variances of 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 closely replicate the statistical behavior of observed nominal profits on the U.S. dollar in the floating regime period. As in the actual data simulated forward rates display biasedness in predicting simulated future spot rates.





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