کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963531 1479125 2010 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Currency crisis and the forward discount bias: Evidence from emerging economies under breaks
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Currency crisis and the forward discount bias: Evidence from emerging economies under breaks
چکیده انگلیسی
This paper investigates the effects of two financial crises (the 1997 Asian currency crisis and the 2000 Turkish financial crisis) on the forward discount bias in 14 emerging-market economies using a robust two-stage procedure. This unique sample of less researched currencies displays: (i) high persistence in forward discount equations; and (ii) varying variance ratios between changes in exchange rates and the forward premium. The findings provide new insights into the forward discount puzzle: financial crises exert considerable power on the forward discount bias and uphold the forward rate unbiasedness hypothesis (FRUH) by reverting the negative sign into positive.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 5, December 2010, Pages 556-574
نویسندگان
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