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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 coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013119324
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 coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013141467
Persistent link: https://www.econbiz.de/10009406434
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existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013115149
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013109053
This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...
Persistent link: https://www.econbiz.de/10013491880