IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/566.html
   My bibliography  Save this paper

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis

Author

Listed:
  • Allan W. Gregory
  • Thomas H. McCurdy

Abstract

This paper carries out a specification analysis of a test relation for the unbiasedness hypothesis using 30-day forward foreign exchange data from France, Italy, Japan, the United Kingdom, and West Germany. The results indicate that econometric problems exist for each country's test equation. Resolving these problems will probably require explicit modelling of market fundamentals and country-specific institutional details. For each country, there is at least one period which admits a statistically adequate regression equation. Results show the null hypothesis of unbiasedness of the forward rate is rejected for some countries but retained for others.

Suggested Citation

  • Allan W. Gregory & Thomas H. McCurdy, 1984. "The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis," Working Paper 566, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:566
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:566. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.