TY - JOUR
T1 - A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis
AU - Al-Zoubi, Haitham A.
AU - Al-Zoubi, Dana A.
AU - Maghyereh, Aktham I.
PY - 2006/7/1
Y1 - 2006/7/1
N2 - The nonparametric cointegration method of Breitung (2002) is applied to test for the forward rate unbiasedness hypothesis (FRUH) using monthly data of the US dollar vis-à-vis two major currencies viz. the British pound and the Canadian dollar over the period spanned from 1973 to 2002. The results of the nonparametric test are compared with the parametric test suggested by Johansen (1988 and 1992) and Johansen and Juselius (1990). Robust cointegration is found between the spot and the forward rates but the FRUH is rejected. The result is robust whether the trend is included in the model or not.
AB - The nonparametric cointegration method of Breitung (2002) is applied to test for the forward rate unbiasedness hypothesis (FRUH) using monthly data of the US dollar vis-à-vis two major currencies viz. the British pound and the Canadian dollar over the period spanned from 1973 to 2002. The results of the nonparametric test are compared with the parametric test suggested by Johansen (1988 and 1992) and Johansen and Juselius (1990). Robust cointegration is found between the spot and the forward rates but the FRUH is rejected. The result is robust whether the trend is included in the model or not.
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U2 - 10.1080/17446540500474227
DO - 10.1080/17446540500474227
M3 - Review article
AN - SCOPUS:33746225498
SN - 1744-6546
VL - 2
SP - 223
EP - 227
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
IS - 4
ER -