Search Results - subject:"Forward Rate Unbiasedness"

A Cointegration Test for Turkish Foreign Exchange Market Efficiency

Cicek, Macide - In: Asian Economic and Financial Review 4 (2014) 4, pp. 451-471

forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro for the period February … with a unitary cointegrating vector and there exists no systematic expectation errors provide evidence for forward rate … unbiasedness hypothesis and thus against market efficiency in semi-strong form. In the Turkish lira/US dollar foreign exchange …

Persistent link: https://www.econbiz.de/10010766152

A Yield Curve Perspective on Uncovered Interest Parity

Krippner, Leo - Department of Economics, Waikato Management School - 2006

forward rate unbiasedness hypothesis yield curve term structure of interest rates ANS model Nelson and Siegel model … of its parallel specification as the forward rate unbiasedness hypothesis (FRUH). 1 Firstly, it is well established that …

Persistent link: https://www.econbiz.de/10005634982

The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Smallwood, Aaron; Maynard, Alex; Wohar, Mark - Society for Computational Economics - SCE - 2005

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

Persistent link: https://www.econbiz.de/10005343050

The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test

Baum, Christopher; Chakraborty, Atreya; Delcoure, Natalya; … - Department of Economics, Boston College - 2000

Under conditions of risk neutrality and rational expectations in the foreign exchange market, there should be a one-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the unbiasedness hypothesis of the forward rate have...

Persistent link: https://www.econbiz.de/10004968828