Funqua School of Business
100 Fuqua Drive
Durham, NC 27708
Institutional Affiliation: Duke University
NBER Working Papers and Publications
|January 1996||Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information|
with Allan W. Kleidon
in The Microstructure of Foreign Exchange Markets, Jeffrey A. Frankel, Giampaolo Galli, Alberto Giovannini, editors
|September 1983||The Profitability of Currency Speculation|
with John F. O. Bilson: w1197
This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities r...
Published: Bilson, John F. O. & Hsieh, David A., 1987. "The profitability of currency speculation," International Journal of Forecasting, Elsevier, vol. 3(1), pages 115-130. citation courtesy of
|1982||International Risk Sharing and the Choice of Exchange-Rate Regime|
This paper examines the argument that the fixed exchange rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are incomplete under either exchange regime. In this second best world, it is demonstrated that the ability to share risk across countries in the fixed rate regime does not necessarily lead to higher welfare than the inability to share risk in the flexible rate regime.
Published: Journal of International Money and Finance, Vol. 3, no. 2 (1984): 141-151.
|Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats|
This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that inferences using this procedure are very different from those using the standard assumption of homoscedasticity.
Published: Hournal of Interlational Economics, Vol. 12, no.1/2 (1984): 173-184.