The solution to the forward-bias puzzle

被引：15

作者：

Pippenger, John ^{[1
]}

机构：

[1] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2011年 / 21卷 / 02期

关键词：

Exchange rates; Forward-bias puzzle; Covered interest parity; Arbitrage; EXCHANGE; EXPLAIN;

D O I：

10.1016/j.intfin.2010.12.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Although it has taken some 30 years to find, the solution to the forward-bias puzzle is straightforward. The standard test equation that produces the puzzle is missing two variables that covered interest parity implies should be included. For my data, those two missing variables explain the downward bias in the forward-bias puzzle. Covered interest parity also solves another closely related puzzle. The variance for changes in exchange rates is 100-200 times larger than the variance in forward premiums. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：296 / 304

页数：9

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