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Is there asymmetry in forward exchange rate bias? Multi-country evidence

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  • Zhou, Su
  • Kutan, Ali M.

Abstract

This 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.

Suggested Citation

  • Zhou, Su & Kutan, Ali M., 2002. "Is there asymmetry in forward exchange rate bias? Multi-country evidence," ZEI Working Papers B 06-2002, University of Bonn, ZEI - Center for European Integration Studies.
    • Handle: RePEc:zbw:zeiwps:b062002
    as

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    File URL: https://www.econstor.eu/bitstream/10419/39639/1/34713713X.pdf
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    References listed on IDEAS

    as
    1. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    2. Yangru Wu & Hua Zhang, 1996. "Asymmetry in forward exchange rate bias: A puzzling result," Economics Letters, Elsevier, vol. 50(3), pages 407-411, March.
    3. Zhou, Su, 2002. "The forward premium anomaly and the trend behavior of the exchange rates," Economics Letters, Elsevier, vol. 76(2), pages 273-279, July.
    4. 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, vol. 106(434), pages 26-38, January.
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    More about this item

    Keywords

    Asymmetry in forward exchange rate bias; Forward rate anomaly;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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