Arbeitspapier
Currency futures' risk premia and risk factors
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling period. The FFP appears to be a pre-crisis phenomenon and is only observed for maturities longer than about one month. When examining whether the observed excess returns of futures contracts represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess currency returns. But only in the pre-crisis period and when the maturity of the assets is longer than about three months.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1866
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Finance Forecasting and Simulation: Models and Applications
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
International Financial Markets
- Thema
-
forward premium puzzle
uncovered interest parity
futures rates
risk premium
currency excess returns
capital asset pricing model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bernoth, Kerstin
von Hagen, Jürgen
de Vries, Casper G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bernoth, Kerstin
- von Hagen, Jürgen
- de Vries, Casper G.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2020
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