caa a22 4500 467980691 CHVBK 20180323112518.0 cr unu---uuuuu 170328e19901201xx s 000 0 eng 10.1007/BF02707471 doi (NATIONALLICENCE)springer-10.1007/BF02707471 Forward rates and spot rates in the European monetary system — Forward market efficiency [Elektronische Daten] [Alexander Jung, Volker Wieland] Conclusions: Our empirical investigation of forward and spot rates in the European Monetary System in comparison to flexible exchange-rate regimes provides the following results. Unit root tests reveal that forward rates and spot rates are best described by random walks for all six exchange rates under consideration. This indicates that even in the EMS, exchange rates behave in an unpredictable way and exchange-rate variability is relatively high. Applying cointegration theory to the forward rate and the future spot rate, we find that these two time series are cointegrated in the EMS and in flexible exchange-rate systems. There exists a stable linear relationship between the forward rate and the future spot rate which implies that a necessary condition for forward market efficiency is fulfilled. We find the forward rate to be a poor predictor of the future exchange rate. It predicts the sign of the future exchange-rate change correctly except for the guilder, but explains only a small fraction of the change. Concerning forward market efficiency, the single hypothesis, H0: β1 = 1, for EMS and non-EMS exchange rates was found to be rather robust. The joint hypothesis for forward market efficiency, H0: α1 =0, β1 = 1, could be rejected for the EMS exchange rates but not for the flexible exchange rates. Thus, a sufficient condition for forward market efficiency is violated in the case of the EMS while it holds for the flexible exchange rates. Institut fur Weltwirtschaft an der Universitat Kiel, 1990 Jung Alexander aut Wieland Volker aut Weltwirtschaftliches Archiv Springer-Verlag 126/4(1990-12-01), 615-629 0043-2636 126:4<615 1990 126 10290 https://doi.org/10.1007/BF02707471 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF02707471 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Jung Alexander aut NATIONALLICENCE 700 1- Wieland Volker aut NATIONALLICENCE 773 0- Weltwirtschaftliches Archiv Springer-Verlag 126/4(1990-12-01), 615-629 0043-2636 126:4<615 1990 126 10290 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer