کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964124 930480 2011 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Possible solutions to the forward bias paradox
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Possible solutions to the forward bias paradox
چکیده انگلیسی
This note outlines the economic theory behind the theory of uncovered interest parity and some of the econometric issues involved in testing and interpretation. I illustrate some of the issues involved by estimating a rolling regression of the forward premium regression from 22 years of eight major currencies. I also conclude that Pippenger's model is not consistent with the theory of UIP and that furthermore there are severe econometric problems in estimating his model. The forward premium anomaly remains a paradox in international finance that is important and worthwhile to understand more fully.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 617-622
نویسندگان
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