| Titre | Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes | |
|---|---|---|
| Auteur | Stefan Straetmans, Camiel de Koning | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
|
| Page | 77-90 | |
| Résumé anglais |
Time Varying Forex Market Inefficiency by Camiel de Koning and Stefan Straetmans
Researchers have gathered abundant empirical evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia. However, few have studied coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when estimating by using rolling regressions and a Kalman Filter algorithm. Time variation in the regression coefficients is found to be statistically significant. If the regression parameters have changed over time, estimation methods that assume constant parameters may be inappropriate. We argue that the observed time variation in the forward premium slope is so large that a negative OLS slope for the post-Bretton Woods sample is not improbable. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5976 |
