The Forward Rate Unbiasedness Hypothesis revisited

Tsung-Wu Ho

Applied Financial Economics, 2002, vol. 12, issue 11, 799-804

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.

Date: 2002
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DOI: 10.1080/09603100110046874

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