Zhao, Yanping; de Haan, Jakob; Scholtens, Bert; Yang, … - In: Journal of International Money and Finance 32 (2013) C, pp. 156-168
We use rolling cointegration tests to investigate the relationship between the Renminbi daily future spot return and … the forward discount rate for the period after the currency regime reform in China in July 2005. We find that there are … the forward discount rate in China. The unbiasedness hypothesis that the forward rate is an unbiased predictor of the …