The common component in forward premiums: Evidence from the Asia-Pacific region

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We empirically analyze the behavior of the forward premium. Unlike previous research, we use data from Asia-Pacific countries and adopt a panel data approach that allows us to decompose the forward premium into common and idiosyncratic components. Our data suggest the presence of one common factor and the stationarity of both components for short maturities, leading to the conclusion of a stationary forward premium. In contrast, the stationarity of the premium is less supported by the longer maturity data. Furthermore, a large portion of the premium fluctuation is shown to be due to a common factor, particularly over the short time horizon, which in turn can be explained by economic developments in the USA.

本文言語English
ページ(範囲)750-762
ページ数13
ジャーナルReview of International Economics
19
4
DOI
出版ステータスPublished - 2011 9月
外部発表はい

ASJC Scopus subject areas

  • 地理、計画および開発
  • 開発

フィンガープリント

「The common component in forward premiums: Evidence from the Asia-Pacific region」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル