This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single-equation cointegration test proposed by Phillips and Ouliaris and the Johansen 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use...

This paper derives an error correction model under the assumption that the spot and the forward rates are cointegrated, the first difference of forward rates is stationary, and the first order autocorrelation in the forecast error is allowed. When tests of the unbiasedness hypothesis are...

This paper simulates forward hedging of foreign exchange risks for U.S. investments in U.K., German and French equities. Rolling OLS and SUR regressions are used to obtain monthly exposure coefficients (hedge ratios), and the micro-market mechanics of the exchange rate bid-ask spread are...