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Using US\/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within\u2010regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based. Copyright \u00a9 2005 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.773","type":"journal-article","created":{"date-parts":[[2005,4,14]],"date-time":"2005-04-14T13:16:51Z","timestamp":1113484611000},"page":"423-437","source":"Crossref","is-referenced-by-count":27,"title":["Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables"],"prefix":"10.1002","volume":"20","author":[{"given":"Fabio","family":"Spagnolo","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Zacharias","family":"Psaradakis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Martin","family":"Sola","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2005,4,14]]},"reference":[{"key":"e_1_2_8_2_1","first-page":"398","article-title":"Mean reversion in equilibrium asset prices","volume":"80","author":"Cecchetti SG","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(95)00016-X"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00057-4"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199703)12:2<151::AID-JAE424>3.0.CO;2-J"},{"key":"e_1_2_8_6_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton JD","year":"1994"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950070506"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199603)11:2<195::AID-JAE375>3.0.CO;2-2"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392442"},{"key":"e_1_2_8_10_1","volume-title":"Foundations of International Macroeconomics","author":"Obstfeld M","year":"1996"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00242"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00010-4"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00305"},{"key":"e_1_2_8_14_1","unstructured":"PsaradakisZ SolaM SpagnoloF.2002.Estimating Fama\u2013Campbell\u2013Shiller term structure equations in the presence of risk premia and Markov regime shifts. 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