Rethinking Deviations From Uncovered Interest Parity
The Role of Covariance Risk and Noise
Dados 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) |
| Ano | 1998 |
| Volume | 108 |
| Fascículo | 451 |
| Páginas | 1686-1706 |
| Data de publicação | 1998-11-01 |
| Peer Reviewed | Sim |
| Open Access | Sim |
| Tipo | ARTICLE |
| Periódico | The Economic Journal (JOURNAL) |
| Identificadores do periódico | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Editora | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00367 |
| OpenAlex | W1977214985 |
| Idioma | EN |
| Citações recebidas | 3 |
| Referências 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 |
|---|---|
| Citações por ano | 0,12 |
| Intervalo de citações | 2000 - 2018 (19) |
| Velocidade de citação | historical |
| Altamente citado | Não |
| Tipos de citação | Neutras: 3 |