G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7772
DP7772 The Forward Premium Puzzle and Latent Factors Day by Day
Casper de Vries; Jurgen von Hagen; Kerstin Bernoth
发表日期2010-04-04
出版年2010
语种英语
摘要We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities, the slope coefficient is positive, but it turns negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk.
主题International Macroeconomics
关键词Forward premium puzzle Futures rates Latent factor
URLhttps://cepr.org/publications/dp7772
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/536608
推荐引用方式
GB/T 7714
Casper de Vries,Jurgen von Hagen,Kerstin Bernoth. DP7772 The Forward Premium Puzzle and Latent Factors Day by Day. 2010.
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