The Forward Premium Puzzle Revisited

The Forward Premium Puzzle Revisited
The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate correlation between the forward premium and shocks arising from risk premia or expectations errors. This paper... READ MORE...

Publication date: February 2002
ISBN 9781451844672
$15.00

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