| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7772 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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