The Forward Premium Puzzle Across Maturities
This 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.
Volume (Year): 30 (2010)
Issue (Month): 2 ()
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References listed on IDEAS
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- 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.
- 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.
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