How puzzling is the forward premium puzzle? A meta-analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10426250" target="_blank" >RIV/00216208:11230/21:10426250 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=R2V.jURBz9" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=R2V.jURBz9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.euroecorev.2021.103714" target="_blank" >10.1016/j.euroecorev.2021.103714</a>
Alternative languages
Result language
angličtina
Original language name
How puzzling is the forward premium puzzle? A meta-analysis
Original language description
A key theoretical prediction in financial economics is that under risk neutrality and rational expectations a currency's forward rates should form unbiased predictors of future spot rates. Yet scores of empirical studies report negative slope coefficients from regressions of spot rates on forward rates. We collect 3643 estimates from 91 research articles and using recently developed techniques investigate the effect of publication and misspecification biases on the reported results. Correcting for these biases yields slope coefficients in the intervals (0.23,0.45) and (0.95,1.16) for the currencies of developed and emerging countries respectively, which implies that empirical evidence is in line with the theoretical prediction for emerging economies and less puzzling than commonly thought for developed economies. Our results also suggest that the coefficients are systematically influenced by the choice of data, numeraire currency, and estimation method
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Economic Review
ISSN
0014-2921
e-ISSN
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Volume of the periodical
134
Issue of the periodical within the volume
May
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
30
Pages from-to
1-30
UT code for WoS article
000640571200012
EID of the result in the Scopus database
2-s2.0-85103430084