| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2187 |
| DP2187 Why Does the 'Law of One Price' Fail? A Case Study | |
| Jonathan Haskel; Holger Wolf | |
| 发表日期 | 1999-07-26 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | In this paper we document new results regarding the forward premium puzzle. The often found negative correlation between the expected currency depreciation and interest rate differential is, contrary to popular belief, not a pervasive phenomenon. It is confined to developed economies, and here only to states where the U.S. interest rate exceeds foreign interest rates. Furthermore, we find that differences across economies are systematically related to per capita GNP, average inflation rates, and inflation volatility. Our empirical work suggests that it is hard to justify the cross-sectional differences in the risk premia as compensation for systematic risk. Instead, country-specific attributes seem to be important in characterizing the cross-sectional dispersion in the risk premia. |
| 主题 | Financial Economics |
| 关键词 | Forward premium Forward rates Systematic risk |
| URL | https://cepr.org/publications/dp2187 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531294 |
| 推荐引用方式 GB/T 7714 | Jonathan Haskel,Holger Wolf. DP2187 Why Does the 'Law of One Price' Fail? A Case Study. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Jonathan Haskel]的文章 |
| [Holger Wolf]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Jonathan Haskel]的文章 |
| [Holger Wolf]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Jonathan Haskel]的文章 |
| [Holger Wolf]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
