| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5596 |
| DP5596 Early Retirement Behaviour in the Netherlands - Evidence from a Policy Reform | |
| Rob Euwals; Ronald Wolthoff; Daniel van Vuuren | |
| 发表日期 | 2006-03-27 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We provide empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, consistent with theories based on transactions costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Foreign exchange Uncovered interest parity Forward bias Nonlinearity |
| URL | https://cepr.org/publications/dp5596 |
| 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/534444 |
| 推荐引用方式 GB/T 7714 | Rob Euwals,Ronald Wolthoff,Daniel van Vuuren. DP5596 Early Retirement Behaviour in the Netherlands - Evidence from a Policy Reform. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
