Chapter 6: Foreign Exchange Efficiency

  1. Monthly data for regression estimates in table 6.1 fxeff_m.prn.
  2. Program to do Hansen-Hodrick regressions and tests of uncovered interest parity (table 6.1). HH-1.pgm
  3. Program to do Monte Carlo experiment reported in table 6.2. HH-2.PGM
  4. Quarterly data for Fama regressions in table 6.3. FXEFF_Q.PRN
  5. Program to estimate the the vector error correction model for spot and forward exchange rates by OLS when the cointegration vector is known, and to generate estimates of the expected excess payoff. (Program written by Yangru Wu). MARK-WU.PLT. Program also produces the plots in figure 6.1 using the data set NOISE-Q.DAT.
  6. Program to do GMM estimation and tests of Euler equations for optimal spot and forward exchange rate speculation ICAPM-1.PGM. Program loads the data set ICAPM.PRN.
  7. Program to compute Hansen-Jagannathan bounds for forward foreign exchange speculation. Program generates columns 1 and 2 of the (unlabeled) table. Column 3 is column 1 multiplied by the factor of proportionality (0.309). ICAPM-3.PGM
  8. Program to generate a sequence of posterior probabilities in Karen Lewis’s peso-problem model of exchange rate determination. PESO-1.PGM