| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7791 |
| DP7791 A Transaction Data Study of the Forward Bias Puzzle | |
| Paolo Vitale; Dagfinn Rime; Francis Breedon | |
| 发表日期 | 2010-04-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Using a market microstructure analytical framework we decompose the FX forward discount bias into elements due to time-varying risk premia (related to EBS order flow) and forecast errors derived using the Reuters survey of FX market participants. We find that both elements are significant contributors to the forward bias with risk premia being particularly important in currency pairs traditionally associated with carry trade activity. Part of order flow is driven by carry trade, and from our decomposition the carry trade driven risk premia account for about 50% of the forward bias. |
| 主题 | International Macroeconomics |
| 关键词 | Carry trade Forward discount puzzle Fx microstructure Survey data |
| URL | https://cepr.org/publications/dp7791 |
| 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/536628 |
| 推荐引用方式 GB/T 7714 | Paolo Vitale,Dagfinn Rime,Francis Breedon. DP7791 A Transaction Data Study of the Forward Bias Puzzle. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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