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Testing the Unbiasedness Hypothesis of Foreign Exchange Rates and the Analysis of Transformations

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  • Okunade, Albert A
  • Haryanto, H
  • Means, Dwight B, Jr

Abstract

Recent researchers have utilized various functional forms for testing the hypothesis that the forward rate is an unbiased predictor of future spot rates in foreign exchange markets. We compare a large number of these functional forms for a similar time period and test their consistency with the data for five major currencies. Our results imply that certain functional form models may be inappropriate for some currencies. Researchers must, therefore, be cautious of misspecification due to erroneous functional forms when testing the unbiased forward rate hypothesis. Copyright 1996 by Kluwer Academic Publishers

Suggested Citation

  • Okunade, Albert A & Haryanto, H & Means, Dwight B, Jr, 1996. "Testing the Unbiasedness Hypothesis of Foreign Exchange Rates and the Analysis of Transformations," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 39-46, January.
    • Handle: RePEc:kap:rqfnac:v:6:y:1996:i:1:p:39-46
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    Cited by:

    1. Okunade, Albert A. & Suraratdecha, Chutima, 2006. "The pervasiveness of pharmaceutical expenditure inertia in the OECD countries," Social Science & Medicine, Elsevier, vol. 63(1), pages 225-238, July.
    2. Angelos Kanas & Angelos Kotios & Panagiotis D. Zervopoulos, 2019. "Semi-parametric real exchange rates dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 643-656, February.
    3. Thierry Nianogo & Albert Okunade & Demba Fofana & Weiwei Chen, 2016. "Determinants of US Prescription Drug Utilization using County Level Data," Health Economics, John Wiley & Sons, Ltd., vol. 25(5), pages 606-619, May.

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