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The forward premium puzzle in a model of imperfect information

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Author Info
Albuquerque, Rui

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Abstract

This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy [Mayfield, E.S., Murphy, R.G. 1992. Interest rate parity and the exchange risk premium, Economics Letters 40, 319-324].

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File URL: http://www.sciencedirect.com/science/article/B6V84-4PNFV4F-6/1/9c46b6b620285fe11898c5af58afc66b
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 3 (June)
Pages: 461-464
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:461-464

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Web page: http://www.elsevier.com/locate/ecolet

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This page was last updated on 2009-12-12.

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