期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2011
卷号：1
期号：2
出版社：Human Resource Management Academic Research Society
摘要：Based on a linear framework, this paper aims to examine the relationship between future spot rates andforward exchange rates using USD-TND data, thanks to traditional regressions and to the Vector ErrorCorrection Model (VECM) in order to check if the Unbiasedness Forward Exchange Rate (UFER)hypothesis is satisfied and if the forward premiums contain valuable information useful to forecast thesubsequent path that will be taken by spot exchange rates. The empirical analysis reveals that the UFERhypothesis is rejected and that the forward premium is a crucial tool, at short term, to detect the futuremovements of spot exchange rates. A potential enrichment of such a paper will rely on a non linearframework
