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Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Staff Report No. 665
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model calibration to forward term structures of eleven U.S.-dollar currency pairs from the mid-to-late 1990s through early 2014 fits the data closely and suggests that the premium is indeed nonzero and variable, but not to the degree implied by previous econometric studies.
Schlagwörter: 
arbitrage-free model
foreign exchange
JEL: 
G10
G12
G15
Dokumentart: 
Working Paper

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