The Long Memory Behavior of the EUR/USD Forward Premium
This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years...
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doaj-46709ac2bef9453ab26f8a998cfff7b12020-11-25T01:44:26ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-09-01734374431032The Long Memory Behavior of the EUR/USD Forward PremiumNessrine HamzaouiBoutheina RegaiegThis paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years with a daily frequency from 08 January 1999 to 08 January 2016. Therefore, we estimate the ARFIMA model by a semi-parametric method that is Geweke and Porter-Hudak (1983) and a parametric model namely the maximum likelihood method. The estimation results of long memory parameter confirm the persistence and the fractional dynamics of the forward premium. Moreover, both approaches are consistent when it is the case of 6, 9 and 12 months horizons. These findings bring into question the relevance of the term structure of the foreign exchange forward premium in the determination of the long memory attitude.https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354273?publisher=http-www-cag-edu-tr-ilhan-ozturkarfima box-jenkins gph method whittle long memory. |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Nessrine Hamzaoui Boutheina Regaieg |
spellingShingle |
Nessrine Hamzaoui Boutheina Regaieg The Long Memory Behavior of the EUR/USD Forward Premium International Journal of Economics and Financial Issues arfima box-jenkins gph method whittle long memory. |
author_facet |
Nessrine Hamzaoui Boutheina Regaieg |
author_sort |
Nessrine Hamzaoui |
title |
The Long Memory Behavior of the EUR/USD Forward Premium |
title_short |
The Long Memory Behavior of the EUR/USD Forward Premium |
title_full |
The Long Memory Behavior of the EUR/USD Forward Premium |
title_fullStr |
The Long Memory Behavior of the EUR/USD Forward Premium |
title_full_unstemmed |
The Long Memory Behavior of the EUR/USD Forward Premium |
title_sort |
long memory behavior of the eur/usd forward premium |
publisher |
EconJournals |
series |
International Journal of Economics and Financial Issues |
issn |
2146-4138 |
publishDate |
2017-09-01 |
description |
This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years with a daily frequency from 08 January 1999 to 08 January 2016. Therefore, we estimate the ARFIMA model by a semi-parametric method that is Geweke and Porter-Hudak (1983) and a parametric model namely the maximum likelihood method. The estimation results of long memory parameter confirm the persistence and the fractional dynamics of the forward premium. Moreover, both approaches are consistent when it is the case of 6, 9 and 12 months horizons. These findings bring into question the relevance of the term structure of the foreign exchange forward premium in the determination of the long memory attitude. |
topic |
arfima box-jenkins gph method whittle long memory. |
url |
https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354273?publisher=http-www-cag-edu-tr-ilhan-ozturk |
work_keys_str_mv |
AT nessrinehamzaoui thelongmemorybehavioroftheeurusdforwardpremium AT boutheinaregaieg thelongmemorybehavioroftheeurusdforwardpremium AT nessrinehamzaoui longmemorybehavioroftheeurusdforwardpremium AT boutheinaregaieg longmemorybehavioroftheeurusdforwardpremium |
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1725028684917637120 |