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• W3136603872 endingPage "103714" @default.
• W3136603872 startingPage "103714" @default.
• W3136603872 abstract "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." @default.
• W3136603872 created "2021-03-29" @default.
• W3136603872 creator A5061470066 @default.
• W3136603872 creator A5072893157 @default.
• W3136603872 creator A5086496060 @default.
• W3136603872 creator A5086665090 @default.
• W3136603872 date "2021-05-01" @default.
• W3136603872 modified "2023-09-29" @default.
• W3136603872 title "How puzzling is the forward premium puzzle? A meta-analysis" @default.
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