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Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation

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  • HeeJoon Kang

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File URL: http://hdl.handle.net/10.1007/BF01886205
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Bibliographic Info

Article provided by Springer in its journal Open Economies Review.

Volume (Year): 3 (1992)
Issue (Month): 2 (June)
Pages: 215-232

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Handle: RePEc:kap:openec:v:3:y:1992:i:2:p:215-232

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Web page: http://www.springerlink.com/link.asp?id=100323

Related research

Keywords: depreciation; forward premium; cointegration; interest rate differential; inflation rate differential; nonstationarity;

References

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  1. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
  2. Robert J. Hodrick & Sanjay Srivastava, 1986. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc.
  3. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  4. Driskill, Robert & McCafferty, Stephen, 1982. "Spot and forward rates in a stochastic model of the foreign exchange market," Journal of International Economics, Elsevier, vol. 12(3-4), pages 313-331, May.
  5. Richard Meese & Kenneth Rogoff, 1983. "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 67-112 National Bureau of Economic Research, Inc.
  6. Daniel L. Thornton, 1989. "Tests of covered interest rate parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-66.
  7. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  8. Alec Chrystal, K. & Thornton, Daniel L., 1988. "On the informational content of spot and forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(3), pages 321-330, September.
  9. John F. O. Bilson, 1981. "The "Speculative Efficiency" Hypothesis," NBER Working Papers 0474, National Bureau of Economic Research, Inc.
  10. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
  11. Levy, E & Nobay, A R, 1986. "The Speculative Efficiency Hypothesis: A Bivariate Analysis," Economic Journal, Royal Economic Society, vol. 96(380a), pages 109-21, Supplemen.
  12. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
  13. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
  14. Levine, Ross, 1989. "The pricing of forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 8(2), pages 163-179, June.
  15. Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 135-152, June.
  16. Craig S. Hakkio & Mark Rush, 1987. "Market efficiency and cointegration," Research Working Paper 87-05, Federal Reserve Bank of Kansas City.
  17. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  18. Fratianni, Michele & Wakeman, L. MacDonald, 1982. "The law of one price in the eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 307-323, January.
  19. Cornell, Bradford, 1989. "The impact of data errors on measurement of the foreign exchange risk premium," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 147-157, March.
  20. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March.
  21. Huang, Roger D., 1984. "Some alternative tests of forward exchange rates as predictors of future spot rates," Journal of International Money and Finance, Elsevier, vol. 3(2), pages 153-167, August.
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Cited by:
  1. Michele Fratianni, 2004. "Borders and the Constraints on Globalization," Working Papers 2004-05, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.

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