The forward premium puzzle in a model of imperfect information

DOI10.1016/J.ECONLET.2007.09.016zbMATH Open1255.91322OpenAlexW2051016017MaRDI QIDQ1934799FDOQ1934799

Authors: Rui Albuquerque 

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.016

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zbMATH Keywords

Kalman filterconditional heteroskedasticityfixed effectsimperfect informationforward premium puzzle

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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Cited In (6)

• The forward discount puzzle and market efficiency
• Uncertainty, long-run, and monetary policy risks in a two-country macro model
• Forward rate biases and inconsistencies with tax-modified Fisher conditions
• LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
• Investor overconfidence and the forward premium puzzle
• Testing the persistence of the forward premium: structural changes or misspecification?

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