Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1111/1475-4932.t01-1-00022 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
其它资讯
摘要An efficient systems approach is used to estimate and test two alternative models regarding the pricing of Australian dollar futures contracts traded oh the International Monetary Market of the Chicago Mercantile Exchange. Cointegrating relationships among the Australian dollar spot and futures prices, and the US and Australian risk free rates of interest, suggest alternative error-correction representations for the cost-of-carry model which, with appropriate zero restrictions, yields the unbiased expectations hypothesis. A structural break in the futures price series permits estimation of appropriate models for the full sample in the presence of the break, for the full sample without explicitly modelling the break, and for two separate sub samples created by the structural break. The restricted and unrestricted cost-of-carry formulations are estimated for all sample sets, the models obtained are found to be statistically adequate, and the qualitative results are reasonably robust across different sample sets for both models. On the basis of the tests of zero restrictions, the cost-of-carry model is found to be empirically superior to the unbiased expectations hypothesis for the four sample sets considered, regardless of the number of cointegrating relations.
着者Sequeira JM, McAleer M, Chow YF
期刊名称Economic Record
出版年份200http://aims.cuhk.edu.hk/converis/portal/Publication/1
月份9
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号77
期次238
出版社ECONOMIC SOC OF AUSTRALIA BROWN PRIOR ANDERSON PTY LTD
页次270 - 282
国际标準期刊号00http://aims.cuhk.edu.hk/converis/portal/Publication/13-0249
语言英式英语
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
