True or False?
The answer is true. All that is required is the assumption that people use all the information available to them in conducting their affairs---that is, that expectations are rational. If expectations are not rational we have no basis for assuming any consistent behavior on the part economic agents and scientific analysis of economic and social phenomena becomes impossible.
Notice that rational expectations and market efficiency do not imply that the forward forecasts will be accurate---they may be far off the mark. They do imply, however, that positive errors are no more or less likely than negative errors---if they were more likely the forecasted value will be increased and if they were less likely it will be decreased. If there is a foreign exchange risk premium, then the forecasts may well be biased, since the forward rate will differ systematically from the expected future spot rate by an allowance for risk. People might still be able to make an unbiased forecast of the future spot rate, but the forward rate will differ from that forecasted future spot rate.
Evidence has been presented here that forward exchange rates do not make very good forecasts of future spot rates when inflation rates don't differ much in the countries being compared. This does not mean that markets are inefficient or that expectations are not rational---it may simply mean that people have poor information about the factors affecting future exchange rates, make large errors in forecasting them and demand significant risk premia for taking uncovered positions in foreign currency.