On Cointegration and Tests of Forward Market Unbiasedness

Author

Dean Corbae
Kian Guan Lim, Singapore Management UniversityFollow
Sam OuliarisFollow

Publication Type

Journal Article

Publication Date

11-1992

Abstract

This paper provides univariate and multivariate tests of the unbiasedness hypothesis in forward market efficiency studies using canonical regression procedures for cointegrated systems. The advantage of conducting inference on levels rather than differenced data include greater asymptotic efficiency in estimation, and overcoming the contemporaneous correlation problem among regressors and a stationary risk premium. We demonstrate that the procedure can isolate the time series properties of the forward market risk premium. Canonical regression procedures can also be used to identify which forward rates predict future spot rates in semi-strong form efficiency tests. [ABSTRACT FROM AUTHOR]

Discipline

Business

Research Areas

Finance

Publication

Review of Economics and Statistics, The

Volume

74

Issue

4

First Page

728

ISSN

0034-6535

Identifier

10.2307/2109389

Citation

Corbae, Dean; Lim, Kian Guan; and Ouliaris, Sam. On Cointegration and Tests of Forward Market Unbiasedness. (1992). Review of Economics and Statistics, The. 74, (4), 728.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2252

Additional URL

https://doi.org/10.2307/2109389