Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects
Nikolaos Elias, Dimitris Smyrnakis, Elias Tzavalis
| Year of publication: |
2022
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|---|---|
| Authors: | Elias, Nikolaos ; Smyrnakis, Dimitris ; Tzavalis, Elias |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 79.2022, p. 694-715
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| Subject: | Exchange rate risk premium | Forward premium anomaly | Holding-period returns | Real exchange rate. | Simultaneous systems of equations | Term structure of interest rates | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Theorie | Theory | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Zinsparität | Interest rate parity | Währungsrisiko | Exchange rate risk | Kaufkraftparität | Purchasing power parity | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2021.11.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013345794