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Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis

✍ Scribed by Georgios Sakoulis; Eric Zivot; Kyongwook Choi

Book ID
116641764
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
384 KB
Volume
17
Category
Article
ISSN
0927-5398

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## Abstract It is widely accepted that long‐term interest rates are more suitable for testing the Uncovered Interest Rate Parity (UIP) than shorter‐term rates. This paper shows that while using longer‐term (1‐year) forward exchange rates are also more suitable than shorter‐term rates (1‐month) for