We use the Phillips and Hansen (1990) modified procedure to estimate the cointegrating vector between F-t, the forward exchange rate, and St+1, the appropriate spot rate. We find that the coefficient beta, from the equation, St+1 = alpha + beta F-t + epsilon(t+1) to be very close to, but significantly different from, 1 (at about 0.97), as we had expected on theoretical grounds. With beta not equal 1, running the equation St+1 - S-t = alpha + beta(F-t - S-t) + u(t) will involve misspecification, which will bias the measured value of beta towards 0. (C) 1997 by John Wiley & Sons, Ltd. Int. J. Fin. Econ. 2, 121-129, 1997

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend non-stationarity and general forms of serial dependence. The methods are applied to daily data of spot exchange rates and forward exchange rates during the 1920s, which marked the first episode of a broadly general floating exchange rate system. The tail behaviour of the data is analysed using an adaptive data-based method for estimating the tail slope of the density. The results confirm the need for the use of robust regression methods. We find cointegration between the forward rate and spot rate for the four currencies we consider (the Belgian and French francs, the Italian lira and the US dollar, all measured against the British pound), we find support for a stationary risk premium in the case of the Belgian franc, the Italian lira and the US dollar, and we find support for the simple market efficiency hypothesis (where the forward rate is an unbiased predictor of the future spot rate and there is a zero mean risk premium) in the case of the US dollar.

The Philips-Hansen fully modified Wald test is used to analyze whether or not the forward rate is an unbiased predictor of the future spot rate for the 1920s. Daily data for five exchange rates (German mark, Belgium franc, French franc, Italian lira and US dollar versus the British pound) are examined. The results suggest that the forward unbiasedness hypothesis can be rejected in three (Belgium franc, French Franc and German mark) out of the five currencies. This result may be due to the presence of a risk premium for the Belgian and French francs and to market failure in the case of the German mark, the forward and future spot exchange rates are cointegrated. (JEL F31).

Financial Integration in the 1920s: A Cointegration Approach. - This paper applies the concept of cointegration to analyze the foreign exchange market during the 1920s. The data set consists of daily spot and forward exchange rates for the U. S. dollar, French franc, Belgian franc, Italian lira and German mark, each quoted with respect to the British pound. The authors find that the future spot and forward exchange rates for the U.S., France, Belgium, and Italy are cointegrated. Using a multivariate test for cointegration, they find no evidence of cointegration across markets. There is weak evidence of cointegration among the two neighboring economies of France and Belgium.

This paper Borno Statetests for unit roots in very high frequency spot exchange rate series, which have recently become available. The results suggest that the daily and hourly exchange rate series have a unit root, and most minute-by-minute series have a unit root without trend. In contrast, the continuous time exchange rate series have a unit root with trend, except the Tuesday series, which is trend stationary. However, after temporally aggregating the continuous time series into thirty-second, one-minute, five-minute, ten-minute, fifteen-minute, twenty-minute, thirty-minute and hourly series, we find a unit root in all the series. The results are consistent with the notion that temporal aggregation preserves the unit root property in time series.

Scottish Journal of Political EconomyVolume 39, Issue 2 p. 129-140 DOES THE FORWARD PREMIUM/DISCOUNT HELP TO PREDICT THE FUTURE CHANGE IN THE EXCHANGE RATE? Charles A. E. Goodhart, Charles A. E. Goodhart Department of Economics, London School of Economics and Political ScienceSearch for more papers by this authorPatrick C. McMahon, Patrick C. McMahon Bank of England and Tulane UniversitySearch for more papers by this authorYerima La wan Ngama, Yerima La wan Ngama Department of Accountancy, University of Maiduguri, Nigeria *The authors wish to thank Peter Burridge, Simon Sosvilla-Rivero and an anonymous referee for their helpful comments. Y. L. Ngama acknowledges the financial support of the University of Maiduguri, Nigeria.Search for more papers by this author Charles A. E. Goodhart, Charles A. E. Goodhart Department of Economics, London School of Economics and Political ScienceSearch for more papers by this authorPatrick C. McMahon, Patrick C. McMahon Bank of England and Tulane UniversitySearch for more papers by this authorYerima La wan Ngama, Yerima La wan Ngama Department of Accountancy, University of Maiduguri, Nigeria *The authors wish to thank Peter Burridge, Simon Sosvilla-Rivero and an anonymous referee for their helpful comments. Y. L. Ngama acknowledges the financial support of the University of Maiduguri, Nigeria.Search for more papers by this author First published: May 1992 https://doi.org/10.1111/j.1467-9485.1992.tb00611.xCitations: 18 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume39, Issue2May 1992Pages 129-140 RelatedInformation

The rational expectations model of the term structure is applied to the forward premium on foreign exchange. The model has been previously considered by Hakkio (1981) as a test of a form of market efficiency. Rejection of the model can be due to a failure of the rational expectations hypothesis of the term structure of either the domestic or foreign bond markets, or due to a breakdown of covered interest parity. One- and three-month forward premiums, for three separate currencies, are modeled as unrestricted vector autoregressions, and parametric expressions are derived for a Wald test statistic and an asymptotically efficient two-step estimator of the restricted model. The resulting Wald and Likelihood Ratio statistics give rise to a rejection of the model for all three currencies.

The histidine ammonia-lyase from bacterial strain CAMR 5315 was partially purified to assess its effect on the growth of murine tumours. This strain was selected as the source after an extensive screening programme for histidine ammonia-lyases. The enzyme was partially purified by ammonium sulphate fractionation, chromatography on DEAE-cellulose and Sephadex G-150. The enzyme reduced circulating l-histidine levels in Wistar rats and in mice persisted with a half-life of 6–7 h. Neither LDH virus nor chemical modification with ethylacetimidate increased the half-life as observed with l-asparaginase and l-glutaminase. The enzyme was tested in mice against Ehrlich carcinoma, L5178Y lymphoblastic leukaemia, Mc/S sarcoma, B16 melanoma, P8157 mastocytoma, P1798 lymphosarcoma and the Gardner 6C3HED lymphosarcoma. The only tumours to show sensitivity to the enzyme were the Mc/S sarcoma against which a 65% increase in life span was observed at the highest enzyme dose, 1000 U/kg on alternate days over 14 days and the Ehrlich ascites carcinoma where cures were obtained at 250 U/kg on alternate days over 14 days but only at inocula levels of 105 and 103 cells/animal respectively.

Review of Income and WealthVolume 23, Issue 3 p. 309-314 ON THE MEASUREMENT OF INHERITED WEALTH Colin D. Harbury, Colin D. Harbury The City University, LondonSearch for more papers by this authorDavid M. Hitchens, David M. Hitchens The City University, LondonSearch for more papers by this authorPatrick C. McMahon, Patrick C. McMahon University of BirminghamSearch for more papers by this author Colin D. Harbury, Colin D. Harbury The City University, LondonSearch for more papers by this authorDavid M. Hitchens, David M. Hitchens The City University, LondonSearch for more papers by this authorPatrick C. McMahon, Patrick C. McMahon University of BirminghamSearch for more papers by this author First published: September 1977 https://doi.org/10.1111/j.1475-4991.1977.tb00020.xCitations: 6AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat Citing Literature Volume23, Issue3September 1977Pages 309-314 RelatedInformation