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Interpreting the Forward Premium Anomaly

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Author Info
David K. Backus
Silverio Foresi
Chris I. Telmer

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Abstract

One of the central issues in international finance concerns the forward premium anomaly: changes in spot exchange rates are inversely related to the premium of forward rates over spot rates. The authors construct a numerical example of a theoretical economy with this property and discuss its potential as an explanation of the anomaly.

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Publisher Info
Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 28 (1995)
Issue (Month): s1 (November)
Pages: 108-19
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Handle: RePEc:cje:issued:v:28:y:1995:i:s1:p:108-19

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  1. Fernando Alvarez & Andrew Atkeson & Patrick Kehoe, 2007. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Working Papers CAS_RN_2007_6, Laboratory for Macroeconomic Analysis. [Downloadable!]
    Other versions:
  2. Maurice J. Roche & Michael J. Moore, 1999. "Less of a puzzle: a new look at the forward forex market," Economics, Finance and Accounting Department Working Paper Series n910799, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    Other versions:
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This page was last updated on 2009-10-28.

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