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Befektetői horizont és a „forwardrejtély”
[The investor horizon and the ‘forward puzzle’]

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  • Schepp, Zoltán

Abstract

A dolgozat a fedezetlen paritás közismert, széles körben tapasztalható, ex post sérülésének egy új, a racionális várakozások és a kockázatsemleges befektetők lehetőségét fenntartó értelmezési lehetőségére próbál rávilágítani. Amennyiben a nemzetközi intézményi befektetők számára a hosszú kötvénypozíciók meghatározó jelentőségűek, akkor a hozamgörbe várakozási hipotézisének rövid horizonton szokásos, ex post sérülései - a képződő kötvény-árfolyamnyereségek realizációja révén - oly módon transzformálódhatnak a rövid devizaárfolyam-pályába, ami plauzibilisen illeszkedik a gyakorlatból ismert anomáliákhoz. A szemléltető jellegű empirikus példák a további kutatások létjogosultságát támasztják alá.* Journal of Economic Literature (JEL) kód: E43, F32.

Suggested Citation

  • Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély” [The investor horizon and the ‘forward puzzle’]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
    • Handle: RePEc:ksa:szemle:646
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    References listed on IDEAS

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    Cited by:

    1. Ábel, István & Kóbor, Ádám, 2010. "A monetáris restrikció hatása strukturális VAR keretben [The effect of monetary restriction in a vector auto-regression framework]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 412-430.
    2. Ábel, István & Kóbor, Ádám, 2008. "Kamatkülönbözet, spekulációs profit és árfolyam-változékonyság [Interest-rate differentials, speculative capital flows and exchange-rate volatility]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 941-961.
    3. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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