What determines the forward exchange rate of the euro?

文獻來源 source:
Karfakis Costas, "What determines the forward exchange rate of the euro?" , Applied Financial Economics Letters, Mar2008, Vol. 4 Issue 2, p127-131, 5p, 2 Charts, 6 Graphs(原文連結DOI)

重點摘要summary(by哲維)
基本理論 Theoretic Grounds :
Covered Interest Rate Parity

研究方法(估計、檢定、指標)與邏輯：
1. Every variables have to get natural logrithm, then, estimating equation by using FM-OLS which could realize who make the equilibrium in long-run and which theory is hold. However, in the beginning of estimation of equation, we ought to know whether the variable is the stationary or not by Augmented Dickey-Fuller. If it is non-stationary, we should make sure what integrated of order the variables are. We can go on next process by Engle-Granger Co-integration, while the non-stationary variables have the same integrated of order. Finally, we could make sure the equation is meaningful that existing the co-integration relationship among the variables. Next, we do Wald Coefficient Restriction test which support the foundational theory, and serial correlation test prevent the residuals from the correlated relationship.

2. We do Error Correction Model latterly. If the result doesn't match the Granger Representation Theorem, since VECM is better than Engle-Grager Co-integration, we should judge the conclusion by VECM. Besides, we make four tests from residuals, including serial correlation, normality, heteroskedasticity, regression error specification test to make sure the residual fitting in with the classical foundational theory.


需要的統計數據：
We should got three sample sets, including one-month forward exchange rate, spot exchange rate and inter-bank interest rate. All of data are end of month observations. The time interval is 19990/01~2005/11.

主要實證結果：
The speculators determine forward exchange rate of dollar, that is, uncovered interest rate parity hold.


困難處或遭遇之問題：
In my simulated paper, all of equations do not have co-integration except for Taiwan. However, the coefficient of VECM doesn't conform with the foundational theory that the coefficient adding each other is one. Therefore, it is difficult to confirm the economic meaning the equation implying.


有用的參考文獻：
Walter Enders," Applied Econometric Time Series"
Robert S. Pindyck and Daniel L. Rubinfeld," Econometric Models and Economic Forecasts"
楊亦農，" 時間序列分析"
E Dwight Phaup,"A Reinterpretation of the Model Theory of Forward Exchange Rate," Journal of Money, Credit and Banking, Vol 13, No. 14, p.477~484