TY - JOUR
T1 - The forward rate unbiasedness hypothesis revisited
AU - Ho, Tsung Wu
PY - 2002/11/1
Y1 - 2002/11/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=33746389333&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33746389333&partnerID=8YFLogxK
U2 - 10.1080/09603100110046874
DO - 10.1080/09603100110046874
M3 - Article
AN - SCOPUS:33746389333
SN - 0960-3107
VL - 12
SP - 799
EP - 804
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 11
ER -