کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958863 | 929089 | 2007 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Official interventions and the forward premium anomaly
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper presents evidence that the forward premium anomaly intensifies during those times when a central bank intervenes. A model of exchange rate determination is presented to explain this and other features of the dollar–deutschemark and dollar–yen markets. In the model, the forward premium anomaly is caused by surprise central bank interventions in the foreign exchange market. Because interventions are pure surprises, the violations of uncovered interest parity that they create do not represent ex ante profit opportunities. Simulations of the model are found to match the forward premium anomaly and several other notable features of the data. The model also provides a theoretical basis for ARCH effects in exchange-rate returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 14, Issue 4, September 2007, Pages 499–522
Journal: Journal of Empirical Finance - Volume 14, Issue 4, September 2007, Pages 499–522
نویسندگان
Nelson C. Mark, Young-Kyu Moh,