Affine Term Structure Models And The Forward Premium Anomaly  

Oleh:

Backus, David K. ; Foresi, Silverio ; Telmer, Chris I.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 279-304.
Topik: STRUCTURES; THEORY; mathematical models; studies; foreign exchange; interest rates; regression analysis; economic theory
Fulltext: p 279.pdf (148.48KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate when one might guess, instead, that investors should demand higher interest rates on currencies expected to fall in value. This departure from uncovered interest parity, which is termed the forward premium anomaly, has been documented in dozens - and possibly hundreds - of studies, and has spawned a second generation of papers attempting to account for it. The anomaly is characterized in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. The quantitative properties of either alternative to have important shortcomings are found.

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