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• W1754513669 abstract "textabstractUnivariate time series regressions of the forex return on the forwardpremium generate mostly negative slope coefficients. Simple and refinedpanel estimation techniques yield slope estimates that are much closer tounity. We explain the two apparently opposing results by allowing for bothadditive and multiplicative news. No arbitrage arguments imply that themultiplicative news component must be identical across all exchange ratesat a given point in time. Cross section estimates reveal that the movementsin the multiplicative news component are so large that a negativeslope coefficient for the post Bretton Woods time series regressions is not inprobable." @default.
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• W1754513669 date "1997-08-16" @default.
• W1754513669 modified "2023-09-23" @default.
• W1754513669 title "Big news in small samples" @default.
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• W1754513669 hasPublicationYear "1997" @default.
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