کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7364908 | 1479115 | 2014 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The forward premium puzzle and the Euro
ترجمه فارسی عنوان
پازل حق بیمه به جلو و یورو
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes regime switching methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate differentials to the forward premium, and the other looking into deviations from the covered interest rate parity (CIRP) condition. Then we provide evidence that the forward premium puzzle indeed became more prominent around the times of the recent crisis periods such as the Lehman Shock and the Euro crisis. This is also shown to be consistent with a deterioration in the CIRP.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 32, September 2014, Pages 436-451
Journal: Journal of International Financial Markets, Institutions and Money - Volume 32, September 2014, Pages 436-451
نویسندگان
Jun Nagayasu,