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• W2337319906 abstract "ABSTRACTThe forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term is missing from the equation if speculation in foreign exchange markets is risky. We deal with this issue following the literature which assumes that discounted returns on foreign government bonds are log-normal, so we can linearize the Euler pricing equations (in level) and obtain a modified UIP system for which the risk adjustment term is obtained by applying to the pricing kernel-based relations a generalized autoregressive conditional heteroscedasticity-in-mean model. However, here we innovate by adopting a methodology which differs from all these related works. We construct and use a stochastic discount factor that does not depend on a specific model, by residing in the space of returns which we extract from the data by simply imposing the orthogonality restrictions represen..." @default.
• W2337319906 created "2016-06-24" @default.
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• W2337319906 date "2016-01-12" @default.
• W2337319906 modified "2023-09-25" @default.
• W2337319906 title "Forward-premium puzzle: is it time to abandon the usual regression?" @default.
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• W2337319906 doi "https://doi.org/10.1080/00036846.2015.1130790" @default.
• W2337319906 hasPublicationYear "2016" @default.
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