A new look at the forward premium βpuzzl
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Haitham A. Al-Zoubi
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Article
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2010
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John Wiley and Sons
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English
β 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