Rethinking Deviations From Uncovered Interest Parity
The Role of Covariance Risk and Noise
Datos Bibliográficos
| ID | 9715652 |
|---|---|
| Autores | Nelson C Mark (0000-0001-5446-5119, The Ohio State University), Yangru Wu (0000-0002-3177-8523, Rutgers, the State University of New Jersey) |
| Año | 1998 |
| Volumen | 108 |
| Número | 451 |
| Páginas | 1686-1706 |
| Fecha de publicación | 1998-11-01 |
| Peer Reviewed | Sí |
| Open Access | Sí |
| Tipo | ARTICLE |
| Revista | The Economic Journal (JOURNAL) |
| Identificadores de la revista | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Editorial | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00367 |
| OpenAlex | W1977214985 |
| Idioma | EN |
| Citas recibidas | 3 |
| Referencias citadas | 11 |
We examine the ability of the standard intertemporal asset pricing model and a model of noise trading to explain why the forward foreign exchange premium predicts the future currency depreciation with the 'wrong' sign. We find that the intertemporal asset pricing model is unable to predict risk premia with the correct sign to be consistent with the data. The noise‐trader model, while highly stylised, receives fragmentary support from empirical research on survey expectations
Asset (computer security · Capital asset pricing model · Covariance · Currency · Depreciation (economics · Econometrics · Economics · Financial economics · Microeconomics · Monetary economics · Risk premium · Sign (mathematics · Statistics · Computer Science · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact
| Obras citantes distintas | 3 |
|---|---|
| Citas por año | 0,12 |
| Intervalo de citas | 2000 - 2018 (19) |
| Velocidad de citación | historical |
| Altamente citado | No |
| Tipos de cita | Neutras: 3 |