Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5061961 | Economics Letters | 2008 | 4 Pages |
Abstract
This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy [Mayfield, E.S., Murphy, R.G. 1992. Interest rate parity and the exchange risk premium, Economics Letters 40, 319-324].
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Rui Albuquerque,