The Forward Premium Puzzle Across Maturities
AbstractThis paper tests the forward premium puzzle in a wide range of maturities from 1-day to 5-year. It finds that the forward premium puzzle appears to be most significant for medium maturities, while disappearing for both very short and long maturities.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 2 ()
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forward premium puzzle; maturity; GMM;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
- Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
- Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2010.
"The Forward Premium Puzzle and Latent Factors Day by Day,"
DNB Working Papers, Netherlands Central Bank, Research Department
246, Netherlands Central Bank, Research Department.
- Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7772, C.E.P.R. Discussion Papers.
- Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," Discussion Papers of DIW Berlin 989, DIW Berlin, German Institute for Economic Research.
- Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper, 2012. "The forward premium puzzle and latent factors day by day," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein fÃ¼r Socialpolitik / German Economic Association 62017, Verein für Socialpolitik / German Economic Association.
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