| Author(s) | Nabeel E. AI-Loughani |
| Affiliation | Department of Finance and Financial Institutions, College of Administrative Sciences, Kuwait University, Kuwait |
| Title | Are Forward Interest Rates Unbiased Predictors of Future Spot Rates? Evidence from the Kuwaiti Interbank Market |
| Source | Journal of King Saud University. Administrative Sciences. Volume 12, No 2. (2000/1420) |
| Abstract | The predictive power of the tenn structure of interest rates is tested using three, six and twelve month Kuwaiti interbank offerred rates (KlBOR) for the period 1979Q 1-1990Q I obtained from a Kuwaiti local commercial bank. The results of unit root, cointegration and coefficient restriction tests suggest that the forward interest rates implied in the tenn structure are unbiased predictors of future spot interest rates. This finding indicates the possibility of estabishing a local market for interest rate risk management (IRRM) products. |
