Skip to main content
Log in

Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation

  • Review Essay
  • Published:
Open Economies Review Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  • Agmon, Tamir and Yakov Amihud (1981) “The Forward Exchange Rate and the Prediction of the Future Spot Rate,”Journal of Banking and Finance 5, 425–437.

    Google Scholar 

  • Bailey, Ralph W., Richard T. Baillie, and Patrick C. McMahon (1984) “Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market,”Oxford Economic Papers 36, 67–85.

    Google Scholar 

  • Baillie, Richard T. and Tim Bollerslev (1989) “Common Stochastic Trends in a System of Exchange Rates,”Journal of Finance 44, 167–181.

    Google Scholar 

  • Baillie, Richard T. and Tim Bollerslev (1990) “A Multivariate Generalized ARCH Approach to Modeling Risk Premium in Forward Exchange Rate Market,”Journal of International Money and Finance 9, 309–324.

    Google Scholar 

  • Bilson, John F. O. (1981) “The ‘Speculative Efficiency’ Hypothesis”,The Journal of Business 54, 435–451.

    Google Scholar 

  • Boothe, Paul and David Longworth (1986) “Foreign Exchange Market Efficiency Tests: Implications of Recent Empirical Findings,”Journal of International Money and Finance 5, 135–152.

    Google Scholar 

  • Chow, Gregory C. (1983)Econometrics. New York: McGraw-Hill.

    Google Scholar 

  • Chrystal, K. Alec and Daniel L. Thornton (1988) “On the Informational Content of Spot and Forward Exchange Rates,”Journal of International Money and Finance 7, 321–330.

    Google Scholar 

  • Cornell, Bradford (1977) “Spot Rates, Forward Rates and Exchange Market Efficiency,”Journal of Financial Economics 5, 55–65.

    Google Scholar 

  • Cornell, Bradford (1989) “The Impact of Data Errors on Measurement of the Foreign Exchange Risk Premium,”Journal of International Money and Finance 8, 147–157.

    Google Scholar 

  • Driskill, Robert and Stephen McCafferty (1982) “Spot and Forward Rates in a Stochastic Model of the Foreign Exchange Market,”Journal of International Economics 12, 313–338.

    Google Scholar 

  • Engle, Robert F. and C. W. J. Granger (1987) “Co-Integration and Error Correction: Representation, Estimation, and Testing,”Econometrica 55, 251–276.

    Google Scholar 

  • Fama, Eugene F. (1984) “Forward and Spot Exchange Rates,”Journal of Monetary Economics 14, 319–338.

    Google Scholar 

  • Fratianni, Michele and L. Macdonald Wakeman (1982) “The Law of One Price in the Eurocurrency Market,”Journal of International Money and Finance 1, 307–323.

    Google Scholar 

  • Frenkel, Jacob A. (1977) “The Forward Exchange Rate, Expectations, and the Demand for Money: The German Hyperinflation,”American Economic Review 67, 653–670.

    Google Scholar 

  • Fuller, W. A. (1976)Introduction to Statistical Time Series. New York: John Wiley.

    Google Scholar 

  • Garbers, Hermann (1987) “A Misspecification Analysis of the Relationship Between Spot and Forward Exchange Rates,”European Economic Review 31, 1407–1417.

    Google Scholar 

  • Granger, C. W. J. (1981) “Some Properties of Time Series Data and Their Use in Econometric Model Specification,”Journal of Econometrics 16, 121–130.

    Google Scholar 

  • Gregory, Alan W. and Thomas H. McCurdy (1984) “Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A specification Analysis,”Journal of International Money and Finance 3, 357–368.

    Google Scholar 

  • Gregory, Alan W. and Thomas H. McCurdy (1986) “The Unbiasedness Hypothesis in the Forward Foreign Exchange Market,”European Economic Review 30, 365–381.

    Google Scholar 

  • Grenander, V. (1954) “On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance,”Annals of Mathematical Statistics 25, 252–272.

    Google Scholar 

  • Hakkio, Craig S. and Mark Rush (1989) “Market Efficiency and Cointegration: An Application to the Sterling and Deutschmark Exchange Markets,”Journal of International Money and Finance 8, 75–88.

    Google Scholar 

  • Hodrick, Robert J. (1987)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Chur, Switzerland: Harwood Academic Publishers.

    Google Scholar 

  • Hodrick, Robert J. and Sanjay Srivastava (1986) “The Covariation of Risk Premiums and Expected Future Spot Exchange Rates,”Journal of International Money and Finance 5, 5–21.

    Google Scholar 

  • Huang, Roger D. (1984) “Some Alternative Tests of Forward Exchange Rates as Predictors of Future Spot Rates,”Journal of International Money and Finance 3, 153–167.

    Google Scholar 

  • Huang, Roger D. (1990) “Risk and Parity in Purchasing Power,”Journal of Money, Credit and Banking 22, 338–356.

    Google Scholar 

  • Levine, Ross (1989) “The Pricing of Forward Exchange Rates,”Journal of International Money and Finance 8, 163–179.

    Google Scholar 

  • Levy, E. and A. R. Nobay (1986) “The Speculative Efficiency Hypothesis: A Bivariate Analysis,”Economic Journal 96, 109–121.

    Google Scholar 

  • Longworth, David (1981) “Testing the Efficiency of the Canadian-U.S. Exchange Market Under the Assumption of No Risk Premium,”The Journal of Finance 36, 43–49.

    Google Scholar 

  • Meese, R. A. and K. Rogoff (1983a) “Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?”Journal of International Economics 14, 3–24.

    Google Scholar 

  • Meese, R. A. and K. Rogoff (1983b) “The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error of Misspecification.” In J. A. Frenkel (ed),Exchange Rates and International Macroeconomics. Chicago: University of Chicago Press.

    Google Scholar 

  • Raj, Aggarwal (1990) “Distribution of Spot and Forward Exchange Rates: Empirical Evidence and Investor Valuation of Skewness and Kurtosis,”Decision Sciences 21, 588–595.

    Google Scholar 

  • Siegel, Jeremy J. (1972) “Risk, Information, and Forward Exchange,”Quarterly Journal of Economics 86, 303–309.

    Google Scholar 

  • Stock, James H. (1984) “Asymptotic Properties of Least Squares Estimators of Co-Integrating Vectors,” manuscript, Harvard University.

  • Taylor, Mark P. (1989) “Covered Interest Arbitrage and Market Turbulence,”Economic Journal 99, 376–391.

    Google Scholar 

  • Thornton, Daniel L. (1989) “Tests of Covered Interest Rate Parity,”Federal Reserve Bank of St. Louis Review 71, 55–66.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

About this article

Cite this article

Kang, H. Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation. Open Econ Rev 3, 215–232 (1992). https://doi.org/10.1007/BF01886205

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01886205

Key words

Navigation