The forward premium puzzle and the Euro

研究成果: Article査読

2 被引用数 (Scopus)

抄録

This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes regime switching methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate differentials to the forward premium, and the other looking into deviations from the covered interest rate parity (CIRP) condition. Then we provide evidence that the forward premium puzzle indeed became more prominent around the times of the recent crisis periods such as the Lehman Shock and the Euro crisis. This is also shown to be consistent with a deterioration in the CIRP.

本文言語English
ページ(範囲)436-451
ページ数16
ジャーナルJournal of International Financial Markets, Institutions and Money
32
1
DOI
出版ステータスPublished - 2014 9
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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