Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Casper - Verein für Socialpolitik - VfS - 2012
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coeffcient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...