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New evidence on the forward unbiasedness hypothesis in the foreign-exchange market

✍ Scribed by Kleopatra Nikolaou; Lucio Sarno

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
180 KB
Volume
26
Category
Article
ISSN
0270-7314

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✦ Synopsis

A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar exchange rates. The main results are that (a) tests based on stationary This article was partly written while Kleopatra Nikolaou was visiting the European Central Bank and Lucio Sarno was visiting the International Monetary Fund. The authors are indebted for constructive comments and suggestions to Bob Webb (Editor), an anonymous referee, Farooq Akram, Luca

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