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Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1733
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
Using exchange rates futures instead of forwards completes the maturity spectrum of the correlation between the spot return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We hypothesize that the influence of the unobserved risk factor has a contract-specific risk component. Our main contribution is to control for the omitted variable bias by using a modified version of the CCE panel estimator in combination with futures data. This renders the coefficient on the futures premium insignificantly different from one. Subsequently, the contract-specific part is related to conventional proxies of risk.
Schlagwörter: 
forward premium puzzle
CCE estimation
futures rates
latent risk
JEL: 
F31
F37
G13
Dokumentart: 
Working Paper

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