This paper applies the Phillips and Hansen estimation and inference procedures to re-examine the hypothesis that the forward exchange rate is an unbiased predictor of the future spot exchange rate.

The forward premium, the difference between the forward exchange rate and the spot exchange rate, contains economically valuable information about the future of exchange rates. Here is the evidence ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We offer a unifying empirical model of covered and uncovered currency premia, interest rates and spot and forward exchange ...

The U.S. dollar has seen some remarkable swings against major currencies recently. For example, over most of 2005, it gained nearly 18% against the yen and 13% against the euro, while between March ...

The macroeconomic literature contains certain relationships and tautologies linking inflation, interest rates and the exchange rate which are very useful. For example, we have the well-known ...

KARACHI: Exporters are increasingly selling dollars in the forward market to hedge against risks associated with a managed ...

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels ...

Simply sign up to the Foreign exchange myFT Digest -- delivered directly to your inbox. The US’s “strong dollar” policy hasn’t been formally abandoned. But eight months of mercurial — some might say ...

Bank Indonesia records an average of US$212 million per day in Domestic Non-Deliverable Forward (DNDF) transactions.