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The Forward Rate Unbiasedness Hypothesis revisited

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  • Tsung-Wu Ho

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.

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  • Tsung-Wu Ho, 2002. "The Forward Rate Unbiasedness Hypothesis revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 799-804.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:799-804
    DOI: 10.1080/09603100110046874
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    1. Chihwa Kao & Min-Hsien Chiang, 1997. "On the Estimation and Inference of a Cointegrated Regression in Panel Data," Econometrics 9703001, University Library of Munich, Germany.
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    2. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.

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