𝔖 Bobbio Scriptorium
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Can perpetual learning explain the forward-premium puzzle?

✍ Scribed by Avik Chakraborty; George W. Evans


Book ID
113725905
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
327 KB
Volume
55
Category
Article
ISSN
0304-3932

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A new look at the forward premium β€œpuzzl
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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