The forward rate unbiasedness hypothesis revisited

Tsung Wu Ho

doi:10.1080/09603100110046874

The forward rate unbiasedness hypothesis revisited

Tsung Wu Ho

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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 language	English
Pages (from-to)	799-804
Number of pages	6
Journal	Applied Financial Economics
Volume	12
Issue number	11
DOIs	https://doi.org/10.1080/09603100110046874
Publication status	Published - 2002 Nov 1
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1080/09603100110046874

Cite this

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The forward rate unbiasedness hypothesis revisited

Abstract

ASJC Scopus subject areas

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