文章基本信息

标题：The forward premium puzzle and the Euro
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作者：Jun Nagayasu
期刊名称：Discussion Papers / Business School, University of Strathclyde
出版年度：2013
卷号：2013
出版社：University of Strathclyde
摘要：This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate di¤erentials to the forward premium, and the other looking into deviations from the covered interest rate parity (CIRP) condition. Then we provide evidence that the forward premium puzzle indeed became more prominent around the time of the recent crisis periods such as the Lehman Shock and the Euro crisis. This is also shown to be consistent with a deterioration in the CIRP
关键词：forward premium puzzle; risk premium; time-varying parame-;ters; nancial crises