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 …

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 …

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 …

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between … the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon … currency returns. But only in the pre-crisis period and when the maturity of the assets is longer than about three months. …