Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/264447 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Journal of Money, Credit and Banking [ISSN:] 1538-4616 [Volume:] 54 [Issue:] 1 [Publisher:] Wiley [Place:] Hoboken [Year:] 2022 [Pages:] 5-38
Verlag: 
Wiley, Hoboken
Zusammenfassung: 
The use of futures instead of forwards exchange contracts completes the ma-turity spectrum of the correlation between spot yields and the premium. Wefind that the forward premium puzzle appears to be a precrisis phenomenonand is only observed for maturities longer than about 1 month. Differencesin the exposure to risk help to explain cross-sectional spreads in currency ex-cess returns. However, this only applies for medium and longer maturities.Considering that most studies that test the validity of a risk-based approachto currency excess returns focus on short maturity securities, this explainswhy this approach is so often rejected.
Schlagwörter: 
forward premium puzzle
uncovered interest parity
futures rates
price of risk
currency excess returns
capital asset pricing mode
JEL: 
F31
F37
G12
G13
G15
Persistent Identifier der Erstveröffentlichung: 
Sonstige Angaben: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version






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