On the unbiasedness of the forward rate in the Singapore foreign exchange market

This paper evaluates the extent to which the forward exchange rate serves as an 'unbiased' predictor of the future spot rate, premised on a framework that is independent of the assumption of risk neutrality and rational expectation. The results show that daily Singapore Dollar/US Dollar spot and forward exchange rates are cointegrated and the estimated cointegrating vectors satisfy the unbiased forward rate hypothesis restriction.