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The “forward premium puzzle” and the sovereign default risk · Study

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ArticleThe “forward premium puzzle” and the sovereign default risk

Virginie Coudert2012

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Articlegreen2012

The “forward premium puzzle” and the sovereign default risk

Virginie Coudert · Valérie Mignon

61 citations·0/0 files stored·Journal of International Money and Finance

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985The equity premium: A puzzle 2008Market Liquidity and Funding Liquidity 1983Empirical exchange rate models of the seventies 2001The Determinants of Credit Spread Changes 1984Forward and spot exchange rates 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?

Cited by

2015Uncovered interest parity: The long and the short of it 2014Empirical evidence on the currency carry trade, 1900–2012 2013Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand 2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies 2013An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?

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2013Exchange Rates and Interest Parityreport · 12 shared references 2011Global Asset Pricingreview · 10 shared references 2010Speculative capital and currency carry tradesarticle · 10 shared references 2018Global Currency Hedging with Common Risk Factorsarticle · 10 shared references 2008Rare Disasters and Exchange Ratespreprint · 10 shared references 2016New Evidence on the Forward Premium Puzzlearticle · 10 shared references

Details

Year2012

Typearticle

Published2012-05-29

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations61

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/j.jimonfin.2012.05.025

openalex_workW2269589622

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2018Inflation targeting and the forward bias puzzle in emerging countries