The New Fama Puzzle

We re-examine the historically common finding that ex post depreciation and the forward premium are negatively correlated, usually termed the forward premium puzzle. When covered interest differentials are zero, this finding is equivalent to the rejection of the joint hypothesis of uncovered interes...

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Veröffentlicht in:	IMF Economic Review 2022-09, Vol.70 (3), p.451-486
Hauptverfasser:	Bussière, Matthieu, Chinn, Menzie, Ferrara, Laurent, Heipertz, Jonas
Format:	Artikel
Sprache:	eng
Schlagworte:	American dollar Capital assets Capital Markets Currency Depreciation Devisenmarkt Disclosure Economic crisis Economic Policy Economics Economics and Finance Errors Evaluation Expectations Fama puzzle Foreign exchange Foreign exchange rates Humanities and Social Sciences Hypotheses Interest rates International Economics International finance Macroeconomics/Monetary Economics//Financial Economics Prices and rates Research Article Risk premiums Wechselkurs Zinsstruktur
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