The Road Less Travelled

Institutional Aspects of Data and their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness

Bibliographic Data

ID9705273
AuthorsJanice Boucher Breuer (University of South Carolina), Mark E Wohar (0000-0002-4967-0609, University of Nebraska at Omaha)
Year1996
Volume106
Issue434
Pages26
Publication date1996-01-01
Peer ReviewedYes
Open AccessNo
TypeARTICLE
VenueThe Economic Journal (JOURNAL)
Journal identifiersISSN: 0013-0133 • E-ISSN: 1468-0297
PublisherOxford University Press (OUP) (PUBLISHER)
DOI10.2307/2234929
OpenAlexW2002915548
LanguageEN
Citations received2
References cited4

The difference between data used in empirical studies and that envisioned in the theory can influence empirical estimates, sometimes by enough that the direction of future research is altered. This paper illustrates how, in the context of tests of forward rate unbiasedness, a lack of articulation about the mechanics underlying foreign exchange market speculation and about the institutional aspects governing spot and forward rate contracts leads to sampling of the data in a way that is not consistent with the theory. We find that the sampling problems account for some, but not all of the bias in the coefficient on the forward premium

Articulation (sociology · Context (archaeology · Econometrics · Economics · Empirical research · Exchange rate · Financial economics · Forward contract · Forward price · Forward rate · Geography · Interest rate · Macroeconomics · Market data · Politics · Sampling (signal processing · Speculation · Statistics · Computer Science · Finance · Global Financial Crisis and Policies · Law · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact

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