On Single- and Multi-Market Unbiasedness of Forward Exchange Rates: Some Evidence from Four Asian Countries

On Single- and Multi-Market Unbiasedness of Forward Exchange Rates: Some Evidence from Four Asian Countries

Long-run unbiasedness is tested between forward exchange markets of four Asian countries - Hong Kong, Japan, Malaysia and Singapore - vis-a-vis the U.S. and Japan using monthly data on spot and one-month forward exchange rates over the period 1985-1994. The results obtained by employing the Johansen [1988] maximum likelihood technique of cointegration are supportive of unbiasedness for two countries (Malaysia and Singapore) against Japan but only one (Singapore) against the U.S. The results also indicate that unbiasedness holds only in the case of forward exchange markets of Malaysia and Singapore relative to Japan not only when these markets are examined in isolation from other Asian markets but also in a joint system they constitute. (JEL Classification: F31)