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Abstract
This article shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, Citation1984). Using sterling-Canadian dollar data and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision.
Notes
The views expressed in this article do not necessarily reflect those of the European Central Bank or its members.
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