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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&apos;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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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