منابع مشابه
Fixes: Of The Forward Discount Puzzle
Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high-interest rate currency tends to appreciate, the "forward discount puzzle". Using data from the European Monetary System, we find that a large part of the forward discount puzzle vanishes for regimes of fixed exchange rates. That is, deviations from uncovered interest par...
متن کاملThe Forward Guidance Puzzle
With short-term interest rates at the zero lower bound, forward guidance has become a key tool for central bankers, and yet we know little about its effectiveness. This paper first empirically documents the impact of forward guidance announcements on a broad cross section of financial markets data and professional forecasts. We find that FOMC announcements containing forward guidance had hetero...
متن کاملThe Coskewness Puzzle and Stochastic Discount Factor Volatility
In this paper, we propose a novel test of the 3M-CAPM under a positivity constraint on the estimated stochastic discount factor (SDF) and, more importantly, an upper bound on its volatility. The positivity constraint rules out arbitrage opportunities, while the restriction on SDF volatility rules out unduly large Sharpe ratios and is based on a sensible upper bound on investors’ risk aversion. ...
متن کاملInvestor Overconfidence and the Forward Premium Puzzle
We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the forward rate than in the spot rate. Thus, when agents observe a signal of higher future inflation, the consequent rise in the forward premium ...
متن کاملUsing agent based method to Explain Forward Discount Bias (FDB) puzzle in FX market —A MATLAB Application
This paper tries to implement agent-based model to simulate the price formation mechanism in the foreign exchange spot market and forward market and cast new insight into the explanation of forward discount bias puzzle. Genetic Algorithms (GA) is used by trading agent to optimize prediction rule, risk preferences is assumed to be same. Excess demand oriented (order flow induced) price dynamics ...
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ژورنال
عنوان ژورنال: The Review of Economics and Statistics
سال: 1996
ISSN: 0034-6535
DOI: 10.2307/2109962