The forward rate unbiasedness hypothesis reexamined: evidence from a new test

2003 ◽  
Vol 14 (1) ◽  
pp. 83-93 ◽  
Author(s):  
Natalya Delcoure ◽  
John Barkoulas ◽  
Christopher F. Baum ◽  
Atreya Chakraborty
Keyword(s):  
Forward Rate ◽  
Forward Rate Unbiasedness Hypothesis

Testing the forward rate unbiasedness hypothesis during the 1920s

2008 ◽  
Vol 18 (4) ◽  
pp. 358-373 ◽  
Author(s):  
Panayiotis F. Diamandis ◽  
Dimitris A. Georgoutsos ◽  
Georgios P. Kouretas
Keyword(s):  
Forward Rate ◽  
Forward Rate Unbiasedness Hypothesis

scholarly journals Memory properties of the forward premium: A study on South African exchange rates

2002 ◽  
Vol 5 (3) ◽  
pp. 499-510
Author(s):  
H. Boraine ◽  
P. J. Van Staden
Keyword(s):  
Exchange Rates ◽  
South African ◽  
Long Memory ◽  
Bootstrap Method ◽  
Forward Rate ◽  
Developed Economies ◽  
Forward Premium ◽  
Short Memory ◽  
Forward Rate Unbiasedness Hypothesis ◽  
South African Rand

The forward rate unbiasedness hypothesis states that the current forward rate should be an unbiased forecaster of the future spot rate. Inference has always been done under the assumption that the forward premium is a stationary short memory series. Recent empirical results have indicated that this assumption is not valid. Standard unit root tests performed on the forward premium often indicate infinite long memory. However, in recent literature fractionally integrated models have been applied for the forward premium. Empirical analysis is usually performed on exchange rates of developed economies. In this article, the South African Rand-Dollar exchange rate is considered and the focus is therefore on a developing country. A bootstrap method for determining standard errors and confidence limits is described and implemented.

A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis

2006 ◽  
Vol 2 (4) ◽  
pp. 223-227
Author(s):  
Haitham A. Al-Zoubi ◽  
Dana A. Al-Zoubi ◽  
Aktham I. Maghyereh
Keyword(s):  
Cointegration Analysis ◽  
Forward Rate ◽  
Forward Rate Unbiasedness Hypothesis

scholarly journals Efficiency of Foreign Exchange and Its Related Derivatives Market: Evidence From Korea

2019 ◽  
Vol 10 (2) ◽  
pp. 92
Author(s):  
Min-woo Kang
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Forward Rate ◽  
Exchange Market ◽  
Central Bank Intervention ◽  
Interest Rate Parity ◽  
Long Time ◽  
Derivatives Markets ◽  
Forward Rate Unbiasedness Hypothesis

This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants by employing several well-established methodologies based on current theoretical arguments on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the foreign exchange market and its related derivatives markets were inefficient during the period 2006-2016, but have improved considerably after the 2008-2009 financial crisis. As the inefficiency prevailed for a long time, emphasis is on the presence of risk premia in the international financial market and the role of central bank intervention.

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