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Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data

Author

Listed:
  • Zacharatos, N.
  • Sutcliffe, C.

Abstract

This paper uses cointegration techniques to test the hypothesis that the forward rate for the Greek drachma-US dollar exchange rate is an unbiased predictor of the future spot rate.

Suggested Citation

  • Zacharatos, N. & Sutcliffe, C., 1999. "Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data," Papers 99-151, University of Southampton - Department of Accounting and Management Science.
    • Handle: RePEc:fth:sotoam:99-151
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    Citations

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    Cited by:

    1. Mahamuda Firoj & Sharmina Khanom, 2018. "Efficient Market Hypothesis: Foreign Exchange Market of Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 99-103.
    2. Carl Bonham & Richard Cohen & Shigeyuki Abe, 2006. "The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination," Working Papers 200611, University of Hawaii at Manoa, Department of Economics.
    3. Phungo, Muka & Bonga-Bonga, Lumengo, 2019. "An analysis of the unbiased forward rate hypothesis in developed and emerging economies," MPRA Paper 92222, University Library of Munich, Germany.

    More about this item

    Keywords

    EXCHANGE RATE ; ECONOMIC MODELS;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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