Untitled Page 1 Page 2 Harwood Fundamentals of Pure and Applied Economics THE EMPIRICAL
EVIDENCE ON THE EFFICIENCY OF FORWARD AND FUTURES FOREIGN EXCHANGE …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of
cointegration between spot and forward (futures) prices depends on the time-series …

The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been
consistently rejected in recent empirical studies. This paper examines several sources of …

Assuming that daily spot exchange rates follow a martingale process, we derive the implied
time series process for the vector of 30-day forward rate forecast errors from using weekly …

Forward and spot exchange rates between major currencies imply large standard deviations
of both predictable returns from currency speculation and of the equilibrium price measure …

We develop a framework to extract information regarding subsequent spot rate movements
from the term structure of forward exchange premiums while admitting possible deviations …

This paper tests the rational expectations hypothesis (REH) and the market efficiency
hypothesis (MEH) in the foreign exchange markets, using survey data on expectations. Our …

The recent empirical literature on the efficiency of the foreign exchange market has been
characterized by strikingly contradictory conclusions drawn from similar empirical evidence …

IN THE" SIMPLE EFFICIENCY SPECIFICATION of forward exchange markets, it is often
argued that the forward rate" fully reflects" available information about the exchange rate …