The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany

17 Pages Posted: 1 Mar 2012

See all articles by Allan Gregory

Allan Gregory

Queen's University

Thomas H. McCurdy

University of Toronto - Rotman School of Management

Date Written: 1986

Abstract

The purpose of this paper is to carry out a specification analysis of a test relation for the unbiasedness hypothesis using thirty-day forward foreign exchange data from France, Italy, Japan, the United Kingdom, and West Germany. The results indicate that econometric problems do exist for each country's test equation over the entire sample. For each country, there is at least one period which admits a statistically adequate regression equation. Results for these periods show that the null hypothesis of the unbiasedness of the forward rate is rejected for some countries but is retained for others.

Keywords: specfication analyses, unbiasedness hypothesis, forward foreign exchange rate

JEL Classification: C22, C52, F31

Suggested Citation

Gregory, Allan and McCurdy, Thomas H., The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany (1986). European Economic Review, Vol. 30, p. 365, 1986, Available at SSRN: https://ssrn.com/abstract=2013452

Allan Gregory

Queen's University ( email )

Kingston, Ontario K7L 3N6
Canada

Thomas H. McCurdy (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-978-3425 (Phone)
416-971-3048 (Fax)

HOME PAGE: http://www-2.rotman.utoronto.ca/~tmccurdy

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
72
Abstract Views
762
Rank
585,331
PlumX Metrics