𝔖 Bobbio Scriptorium
✦   LIBER   ✦

An explanation of the forward premium ‘puzzle’

✍ Scribed by Richard Roll; Shu Yan

Book ID
108559617
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
542 KB
Volume
6
Category
Article
ISSN
1354-7798

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✍ Haitham A. Al-Zoubi 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 241 KB

We decompose the spot and forward rates into (permanent) nonlinear trend components and (transitory) stationary components. We examine the unbiasedness of the permanent (transitory) component of the forward rate in predicting the permanent (transitory) component of its corresponding future spot rate