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Modelling the Currency Forward Risk Premium: A New Perspective

✍ Scribed by Ramaprasad Bhar; Carl Chiarella; Toan M. Pham

Book ID
110397898
Publisher
Springer
Year
2001
Tongue
English
Weight
124 KB
Volume
8
Category
Article
ISSN
1573-6946

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πŸ“œ SIMILAR VOLUMES

A new look at the forward premium β€œpuzzl
A new look at the forward premium β€œpuzzle”
✍ Haitham A. Al-Zoubi πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 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