On Cointegration and Tests of Forward Market Unbiasedness

On Cointegration and Tests of Forward Market Unbiasedness

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...

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Main Authors: Corbae, Dean, Lim, Kian Guan, Ouliaris, Sam
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1992
Subjects:
Business
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2252
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.lkcsb_research-32512010-09-23T12:30:04Z On Cointegration and Tests of Forward Market Unbiasedness Corbae, Dean Lim, Kian Guan Ouliaris, Sam 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] 1992-11-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/2252 info:doi/10.2307/2109389 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4645892&site=ehost-live Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
spellingShingle Business
Corbae, Dean
Lim, Kian Guan
Ouliaris, Sam
On Cointegration and Tests of Forward Market Unbiasedness
description 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]
format text
author Corbae, Dean
Lim, Kian Guan
Ouliaris, Sam
author_facet Corbae, Dean
Lim, Kian Guan
Ouliaris, Sam
author_sort Corbae, Dean
title On Cointegration and Tests of Forward Market Unbiasedness
title_short On Cointegration and Tests of Forward Market Unbiasedness
title_full On Cointegration and Tests of Forward Market Unbiasedness
title_fullStr On Cointegration and Tests of Forward Market Unbiasedness
title_full_unstemmed On Cointegration and Tests of Forward Market Unbiasedness
title_sort on cointegration and tests of forward market unbiasedness
publisher Institutional Knowledge at Singapore Management University
publishDate 1992
url https://ink.library.smu.edu.sg/lkcsb_research/2252
https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4645892&site=ehost-live
_version_ 1770570173089054720

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