Abstract
Exchange Rate Uncertainty and the Efficiency of the Forward Market for Foreign Exchange. — The paper investigates to what extent exchange rate uncertainty can account for the observed deviations from the forward market efficiency hypothesis (FMEH). The empirical analysis employs a simple varying parameter regression to allow uncertainty to modify the central parameters of the FMEH in a direct way. Uncertainty is proxied by significant exchange rate changes. The results indicate that there is considerable support for the FMEH if one allows the intercept term to vary over time.
Zusammenfassung
Unsicherheit über Wechselkurse und Effizienz von Terminmärkten. — Die Verfasser untersuchen, in welchem Ausmaß die Unsicherheit über Wechselkurse für die beobachteten Abweichungen von der Hypothese der Effizienz von Terminmärkten verantwortlich ist. Bei der empirischen Analyse verwenden sie eine einfache Regression mit variierenden Parametern, um unmittelbar berücksichtigen zu können, daß Unsicherheit die zentralen Parameter der Hypothese verändern kann. Unsicherheit wird durch signifikante Wechselkursänderungen approximiert. Die Ergebnisse deuten darauf hin, daß die Hypothese der Effizienz von Terminmärkten dann beachtlich gestützt wird, wenn man zuläßt, daß sich das absolute Glied der Regressionsgleichung im Zeitablauf verändern kann.
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