Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … decomposed into a contract-specific and a time- to-maturity effect. Once we do this, we find that the coefficients on the forward … premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk. …