Article ID Journal Published Year Pages File Type
5061961 Economics Letters 2008 4 Pages PDF
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].

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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