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Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 07-033/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive and close to one. This paper contributes by using futures data instead of forwards to complete the maturity spectrum at the (multi-) day level. We find that the correlation only slowly turns negative as the number of days to maturity is increased to the monthly level. The typical shape of the premium correlation with regard to the forward maturity length appears to be V-shaped.
Schlagwörter: 
exchange rates
market efficiency
forward premium puzzle
uncovered interest parity
futures rates
JEL: 
F31
F37
G13
Dokumentart: 
Working Paper
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