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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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The forward premium puzzle and the Euro
Nagayasu, Jun - In: Journal of international financial markets, … 32 (2014), pp. 436-451
Persistent link: https://www.econbiz.de/10011299781
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Carry trade and foreign exchange rate puzzles
Spronk, Richard; Verschoor, Willem F. C.; Zwinkels, … - In: European economic review : EER 60 (2013), pp. 17-31
Persistent link: https://www.econbiz.de/10009762410
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Foreign Exchange Implied Variance and the Forward Premium Puzzle
Pavlidis, Efthymios; Shackleton, Mark B.; Voukelatos, … - 2012
Persistent link: https://www.econbiz.de/10010354455
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Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939
Persistent link: https://www.econbiz.de/10010195543
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Does the forward premium puzzle disappear over the horizon?
Snaith, Stuart; Coakley, Jerry; Kellard, Neil - In: Journal of banking & finance 37 (2013) 9, pp. 3681-3693
Persistent link: https://www.econbiz.de/10010126302
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Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111
Persistent link: https://www.econbiz.de/10011557073
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The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework
Cho, Dooyeon - In: Journal of empirical finance 34 (2015), pp. 229-238
Persistent link: https://www.econbiz.de/10011557131
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Explaining exchange rate anomalies in a model with taylor-rule fundamentals and consistent expectations
Lansing, Kevin J.; Ma, Jun - 2014
Persistent link: https://www.econbiz.de/10010407463
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Model uncertainty and the Forward Premium Puzzle
Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40
Persistent link: https://www.econbiz.de/10010391022