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Figure 4: Unbiasedness Over Time
Notes: Rolling 5-year DM-$ unbiasedness regressions. The figure graphs the 208 slope coefficients
obtained from the unbiasedness regression based on rolling monthly 5-year sub-samples for the DM-$
exchange rate beginning with the sample from March 1973 until February 1978, ending with the 5-year
sample from December 1990 through to November 1995. The dashed lines give the conventional two OLS
standard error confidence bands.
Source: Baillie and Bollerslev (2000)