The forward rate unbiasedness hypothesis revisited

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Abstract

In this paper, the forward rate unbiasedness hypothesis is re-examined by panel cointegration. This paper augments the empirical literature by applying the panel cointegration developed by Kao and Chiang's (1999) dynamic ordinary least square (OLS) to examine the panel of 17 OECD countries. In sharp contrast to individual country's result, this study shows that the hypothesis is accepted at 5% significance level, and panel cointegration is strongly confirmed.

Original languageEnglish
Pages (from-to)799-804
Number of pages6
JournalApplied Financial Economics
Volume12
Issue number11
DOIs
Publication statusPublished - 2002 Nov 1
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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