This paper reexamines the forward rate unbiasedness hypothesis (FRUH) during the 1920s and it contributes to the literature as follows: first, it utilizes a database that includes currencies not studied before, as well as the 3 month forward rates; second, it applies three different approaches...

In this study we explore the implications for the identification of common stochastic trends among stock price indices of using data transformed in a quot;real dollarquot; basis. By applying a quot;generalquot; VAR model where all the relevant variables (stock indices, consumer priced indices...

In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply the multivariate cointegration technique suggested by Johansen...