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来源类型Working Paper
规范类型报告
DOI10.3386/w11840
来源IDWorking 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
URLhttps://www.nber.org/papers/w11840
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/569491
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Jacob Boudoukh,Matthew Richardson,Robert Whitelaw. The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly. 2005.
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