𝔖 Bobbio Scriptorium
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The “forward premium puzzle” and the sovereign default risk

✍ Scribed by Virginie Coudert; Valérie Mignon

Book ID
119298760
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
747 KB
Volume
32
Category
Article
ISSN
0261-5606

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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