The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France,Italy, Japan,the United Kingdom and West Germany |
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| Affiliation: | 1. Department of Commerce Automation and Management, National Pingtung University, Taiwan;2. Department of Information Management, National Central University, Taiwan;1. Hamburg University, Germany;2. Bank for International Settlements, Switzerland;3. Hong Kong Monetary Authority, Hong Kong |
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| Abstract: | The purpose of this paper is to carry out a specification analysis of a test relation for the unbiasedness hypothesis using thirty-day forward foreign exchange data from France, Italy, Japan, the United Kingdom, and West Germany. The results indicate that econometric problems do exist for each country's test equation over the entire sample. For each country, there is at least one period which admits a statistically adequate regression equation. Results for these periods show that the null hypothesis of the unbiasedness of the forward rate is rejected for some countries but is retained for others. |
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