Bernoth, Kerstin
[Verfasser:in]
;
Hagen, Jürgen von
[Sonstige Person, Familie und Körperschaft];
de Vries, Casper G.
[Sonstige Person, Familie und Körperschaft]
The Forward Premium Puzzle and Latent Factors Day by Day
Erschienen in:DIW Berlin Discussion Paper ; No. 989
Umfang:
1 Online-Ressource (40 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1633868
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2010 erstellt
Beschreibung:
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk