@article { , title = {The forward rate premium puzzle: a case of misspecification?}, abstract = {Empirical studies often report a negative relationship between the difference in the spot exchange rate and the forward premium, violating the forward-rate unbiasedness hypothesis. Using standard regression on a sample of ten exchange rates, we obtain both positive and negative coefficients. We argue that the negative coefficients could arise as a result of the non-linearities in the relationship and misspecification. As an alternative to the standard regression, we use a time-varying-coefficient technique that estimates bias-free coefficients and, thus, should provide better estimates of the link between spot and forward rates. Our findings strongly support the forward rate unbiasedness hypothesis. All the parameters are very close to unity and significant.}, doi = {10.1515/snde-2013-0009}, eissn = {1558-3708}, issn = {1081-1826}, issue = {3}, note = {Batch 009. Output ID 45905.}, pages = {265-279}, publicationstatus = {Published}, publisher = {De Gruyter}, url = {https://hull-repository.worktribe.com/output/429268}, volume = {17}, keyword = {Business and Logistics, Economics and Econometrics, Social Sciences (miscellaneous), Analysis}, year = {2013}, author = {Hall, Stephen G. and Kenjegaliev, Amangeldi and Swamy, P. A. V. B. and Tavlas, George S.} }