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The Forward Premium Puzzle Across Maturities

Author

Listed:
  • Liang Ding

    (Macalester College)

  • Linh To

    (Convexity Capital Management LP)

Abstract

This paper tests the forward premium puzzle in a wide range of maturities from 1-day to 5-year. It finds that the forward premium puzzle appears to be most significant for medium maturities, while disappearing for both very short and long maturities.

Suggested Citation

  • Liang Ding & Linh To, 2010. "The Forward Premium Puzzle Across Maturities," Economics Bulletin, AccessEcon, vol. 30(2), pages 1113-1119.
    • Handle: RePEc:ebl:ecbull:eb-10-00064
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I2-P104.pdf
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    References listed on IDEAS

    as
    1. Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
    2. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
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    Cited by:

    1. repec:diw:diwwpp:dp989 is not listed on IDEAS
    2. de Vries, Casper & von Hagen, Jurgen & Bernoth, Kerstin, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," CEPR Discussion Papers 7772, C.E.P.R. Discussion Papers.
    3. repec:diw:diwwpp:dp1733 is not listed on IDEAS

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    More about this item

    Keywords

    forward premium puzzle; maturity; GMM;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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