Asymmetry in forward exchange rate bias: A puzzling result

Economics Letters

Volumn 50, Issue 3, 1996, Pages 407-411

  Wu, Yangru ^a   Zhang, Hua ^b  

^a WEST VIRGINIA UNIVERSITY   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Forward market efficiency; Unbiasedness hypothesis

Indexed keywords

EID: 0030306170     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00759-8     Document Type: Article

References (8)

1. Evans, M.D.D. and K.K. Lewis, 1992, Are foreign exchange returns subject to permanent shocks?, Mimeo, University of Pennsylvania, Philadelphia, PA.
2. Fama, E.F., 1984, Forward and spot exchange rates, Journal of Monetary Economics 14, 319-338.
3. Froot, K.A. and J.A. Frankel, 1989, Forwrad discount bias: Is it an exchange risk premium?, Quarterly Journal of Economics 104, 139-161.
4. Froot, K.A. and R.H. Thaler, 1990, Anomalies: Foreign exchange, Journal of Economic Perspective 4, 179-192.
5. Hodrick, R.J., 1987, The empirical evidence on the efficiency of forward and futures foreign exchange markets (Harwood, Chur, Switzerland).
6. Mark, N.C., Y. Wu and W. Hai, 1993, Understanding spot and forward exchange rate regressions, Mimeo, Ohio State University.
7. McCallum, B.T., 1994, A reconsideration of the uncovered interest parity relationship, Journal of Monetary Economics 33, 105-132.
8. Wu, Y. and H. Zhang, 1994, Forward premiums as unbiased predictors of future currency depreciation: A non-parametric analysis, Mimeo, The Chinese University of Hong Kong.