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Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data

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Author Info
Zacharatos, N.
Sutcliffe, C.

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Abstract

This paper uses cointegration techniques to test the hypothesis that the forward rate for the Greek drachma-US dollar exchange rate is an unbiased predictor of the future spot rate.

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Publisher Info
Paper provided by University of Southampton - Department of Accounting and Management Science in its series Papers with number 99-151.

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Length: 21 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:sotoam:99-151

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Postal: University of Southampton, Department of Accounting & Mangement Science, Southampton S09 5NH UK.
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Web page: http://www.soton.ac.uk/~econweb/
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Related research
Keywords: EXCHANGE RATE ; ECONOMIC MODELS;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Carl Bonham & Richard Cohen & Shigeyuki Abe, 2006. "The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination," Working Papers 200611, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
Statistics
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This page was last updated on 2009-12-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.