| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11840 |
| 来源ID | Working Paper 11840 |
| The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly | |
| Jacob Boudoukh; Matthew Richardson; Robert Whitelaw | |
| 发表日期 | 2005-12-12 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of cross-country differences between forward interest rates rather than spot interest rates with dramatic results. These forward interest rate differentials have statistically and economically significant forecast power for annual exchange rate movements, both in- and out-of-sample, and the signs and magnitudes of the corresponding coefficients are consistent with economic theory. Forward interest rates also forecast future spot interest rates and future inflation. Thus, we attribute much of the forward premium anomaly to the anomalous behavior of short-term interest rates, not to a breakdown of the link between fundamentals and exchange rates. |
| 主题 | Financial Economics ; Financial Markets ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w11840 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569491 |
| 推荐引用方式 GB/T 7714 | Jacob Boudoukh,Matthew Richardson,Robert Whitelaw. The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11840.pdf（303KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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