Is there asymmetry in forward exchange rate bias? Multi-country evidence
AbstractThis study illustrates that the empirical rejection of the forward rate unbiasedness hypothesis is not sensitive to whether the forward U.S. dollar is quoted at a premium or a discount. It is argued that the reported finding of so-called asymmetry in forward exchange rate bias in earlier work is simply due to the inclusion of a sample period during which a forward rate anomaly exists. --
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Bibliographic InfoPaper provided by ZEI - Center for European Integration Studies, University of Bonn in its series ZEI Working Papers with number B 06-2002.
Date of creation: 2002
Date of revision:
Asymmetry in forward exchange rate bias; Forward rate anomaly;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier,
Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Zhou, Su, 2002. "The forward premium anomaly and the trend behavior of the exchange rates," Economics Letters, Elsevier, Elsevier, vol. 76(2), pages 273-279, July.
- Yangru Wu & Hua Zhang, 1996. "Asymmetry in forward exchange rate bias: A puzzling result," Economics Letters, Elsevier, Elsevier, vol. 50(3), pages 407-411, March.
- Breuer, Janice Boucher & Wohar, Mark E, 1996. "The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(434), pages 26-38, January.
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