Fama (1984) model estimation results, one-month forward rate (SE in parentheses)
| FX | Period | OLS | Durbin | FGLS | OLS | Durbin | FGLS |
|---|---|---|---|---|---|---|---|
| US-UK | 11/1983–01/2023 | −0.00167 (0.001) | −0.00031 (4.1E-04) | −0.00006 (3.3E-04) | −1.08291 (0.316) | −0.09390 (0.380) | 0.08457 (0.191) |
| 10/1989–04/2021 | −0.00241 (0.002) | −0.00067 (0.001) | −0.00027 (0.001) | −1.32248 (0.359) | 0.44659 (0.781) | −0.28232 (0.464) | |
| US-CA | 12/1984–01/2023 | −0.00015 (0.001) | −0.00000 (2.5E-04) | 0.00004 (2.1E-04) | −0.24314 (0.333) | 0.14125 (0.376) | 0.20060 (0.212) |
| 10/1989–04/2021 | −0.00005 (0.002) | 0.00000 (0.001) | 0.00005 (0.001) | 0.04296 (0.384) | 0.49843 (0.652) | 0.19765 (0.375) | |
| US-JP | 09/1993–01/2023 | −0.00165 (0.002) | −0.00018 (0.001) | 0.00005 (3.3E-04) | −0.08744 (0.110) | 0.26966 (0.145) | 0.17845 (0.081) |
| 09/1993–04/2021 | −0.00101 (0.003) | −0.00027 (0.001) | 0.00011 (0.001) | −0.13273 (0.110) | 0.14601 (0.282) | 0.31225 (0.152) | |
| | | ||||||
|---|---|---|---|---|---|---|---|
| FX | Period | ||||||
| US-UK | 11/1983–01/2023 | −0.00167 (0.001) | −0.00031 (4.1E-04) | −0.00006 (3.3E-04) | −1.08291 (0.316) | −0.09390 (0.380) | 0.08457 (0.191) |
| 10/1989–04/2021 | −0.00241 (0.002) | −0.00067 (0.001) | −0.00027 (0.001) | −1.32248 (0.359) | 0.44659 (0.781) | −0.28232 (0.464) | |
| US-CA | 12/1984–01/2023 | −0.00015 (0.001) | −0.00000 (2.5E-04) | 0.00004 (2.1E-04) | −0.24314 (0.333) | 0.14125 (0.376) | 0.20060 (0.212) |
| 10/1989–04/2021 | −0.00005 (0.002) | 0.00000 (0.001) | 0.00005 (0.001) | 0.04296 (0.384) | 0.49843 (0.652) | 0.19765 (0.375) | |
| US-JP | 09/1993–01/2023 | −0.00165 (0.002) | −0.00018 (0.001) | 0.00005 (3.3E-04) | −0.08744 (0.110) | 0.26966 (0.145) | 0.17845 (0.081) |
| 09/1993–04/2021 | −0.00101 (0.003) | −0.00027 (0.001) | 0.00011 (0.001) | −0.13273 (0.110) | 0.14601 (0.282) | 0.31225 (0.152) | |
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