Understanding the forward premium puzzle: a microstructure approach
High-interest-rate currencies tend to appreciate relative to low-interest-rate currencies. We argue that adverse-selection problems between participants in foreign exchange markets can account for this 'forward premium puzzle.' The key feature of our model is that the adverse selection pro...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
13278 |
| Online Access: | Volltext |
| Summary: | High-interest-rate currencies tend to appreciate relative to low-interest-rate currencies. We argue that adverse-selection problems between participants in foreign exchange markets can account for this 'forward premium puzzle.' The key feature of our model is that the adverse selection problem facing market makers is worse when, based on public information, a currency is expected to appreciate. |
| Item Description: | Literaturverz. S. 18 |
| Physical Description: | 28 S. graph. Darst. 22 cm |
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| 520 | 8 | |a High-interest-rate currencies tend to appreciate relative to low-interest-rate currencies. We argue that adverse-selection problems between participants in foreign exchange markets can account for this 'forward premium puzzle.' The key feature of our model is that the adverse selection problem facing market makers is worse when, based on public information, a currency is expected to appreciate. | |
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| spelling | Burnside, Craig 1965- Verfasser (DE-588)128369272 aut Understanding the forward premium puzzle a microstructure approach Craig Burnside ; Martin S. Eichenbaum ; Sergio Rebelo Cambridge, Mass. National Bureau of Economic Research 2007 28 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13278 Literaturverz. S. 18 High-interest-rate currencies tend to appreciate relative to low-interest-rate currencies. We argue that adverse-selection problems between participants in foreign exchange markets can account for this 'forward premium puzzle.' The key feature of our model is that the adverse selection problem facing market makers is worse when, based on public information, a currency is expected to appreciate. Eichenbaum, Martin S. 1954- Verfasser (DE-588)128369280 aut Rebelo, Sérgio 1959- Verfasser (DE-588)128390840 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13278 (DE-604)BV002801238 13278 http://papers.nber.org/papers/w13278.pdf kostenfrei Volltext |
| spellingShingle | Burnside, Craig 1965- Eichenbaum, Martin S. 1954- Rebelo, Sérgio 1959- Understanding the forward premium puzzle a microstructure approach |
| title | Understanding the forward premium puzzle a microstructure approach |
| title_auth | Understanding the forward premium puzzle a microstructure approach |
| title_exact_search | Understanding the forward premium puzzle a microstructure approach |
| title_exact_search_txtP | Understanding the forward premium puzzle a microstructure approach |
| title_full | Understanding the forward premium puzzle a microstructure approach Craig Burnside ; Martin S. Eichenbaum ; Sergio Rebelo |
| title_fullStr | Understanding the forward premium puzzle a microstructure approach Craig Burnside ; Martin S. Eichenbaum ; Sergio Rebelo |
| title_full_unstemmed | Understanding the forward premium puzzle a microstructure approach Craig Burnside ; Martin S. Eichenbaum ; Sergio Rebelo |
| title_short | Understanding the forward premium puzzle |
| title_sort | understanding the forward premium puzzle a microstructure approach |
| title_sub | a microstructure approach |
| url | http://papers.nber.org/papers/w13278.pdf |
| volume_link | (DE-604)BV002801238 |
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