| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15817 |
| DP15817 How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis | |
| Diana Zigraiova; Tomas Havranek; Zuzana Irsova; Jiri Novak | |
| 发表日期 | 2021-02-16 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | A key theoretical prediction in financial economics is that under risk neutrality and rational expectations a currency's forward rates should form unbiased predictors of future spot rates. Yet scores of empirical studies report negative slope coefficients from regressions of spot rates on forward rates. We collect 3,643 estimates from 91 research articles and using recently developed techniques investigate the effect of publication and misspecification biases on the reported results. Correcting for these biases yields slope coefficients in the intervals (0.23,0.45) and (0.95,1.16) for the currencies of developed and emerging countries respectively, which implies that empirical evidence is in line with the theoretical prediction for emerging economies and less puzzling than commonly thought for developed economies. Our results also suggest that the coefficients are systematically influenced by the choice of data, numeraire currency, and estimation method. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Forward rate bias Uncovered interest parity Meta-analysis Publication bias Model uncertainty |
| URL | https://cepr.org/publications/dp15817 |
| 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/544816 |
| 推荐引用方式 GB/T 7714 | Diana Zigraiova,Tomas Havranek,Zuzana Irsova,et al. DP15817 How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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