The forward premium puzzle in a model of imperfect information

This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy [Mayfield, E.S., Murphy, R.G. 1992. Interest rate parity and the exchange risk premium, Economics Letters 40, 319-324].

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Year of publication:	2008
Authors:	Albuquerque, Rui
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 3, p. 461-464
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355438