Affine Term Structure Models and the Forward Premium Anomaly

By David K. Backus, Silverio Foresi, Chris I. Telmer. 2001

541 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4a959dc7e5d26a873cd2c67231ceb77bc97b1df4

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Citations in the corpus

Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect (2002, unknown): “(1997), Backus et al. (2001), and Moore and Roche (2003). Engel (1996) surveys earlier literature.”
Trade Network Centrality and Currency Risk Premia (2019, unknown): “Work by Bekaert (1996), Bansal (1997), Backus et al. (2001), and Lustig et al. (2011) provides restrictions on models that are necessary to explain deviations from UIP.”
Carry Trade and Momentum in Currency Markets (2011, background): “See, e.g. Bekaert and Hodrick (1992) and Backus, Foresi, and Telmer (2001)).”
Consumption-Based Asset Pricing with Higher Cumulants (2010, background): “Hurd (2006)). Backus, Foresi and Telmer (2001) , Shaliastovich and Tauchen (2005), and”
The Share of Systematic Variation in Bilateral Exchange Rates (2018, result): “Backus et al. (2001) show that this result generalizes to non-Gaussian SDFs.”
A consumption-based model of the term structure of interest rates ☆ (2006, background): “The nominal return on an n-period nominal bond is R$n;t ¼ P$n 1;tþ1 P$n;t with r$n;t ¼ lnR$n;t. Finally, let yn;t ¼ 1 n ln Pn;t and y$n;t ¼ 1 n ln P$n;t 6See Backus et al. (2001) and Sun (1992) for illustrations of this approach in discrete-time and Duffie and Kan (1996) for an illustration in…”
Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “…exposures to the common factor is acknowledged in Gourio, Siemer, and Verdelhan (2012); Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009); Backus, Foresi, and Telmer (2001) and Lustig, Roussanov, and Verdelhan (2011); and in a no-arbitrage setting in Lustig, Roussanov, and Verdelhan…”
International Bond Risk Premia (2013, unknown): “risk factors to predict international stock returns while Backus et al. (2001) and Lustig et al.”
Properties of Foreign Exchange Risk Premiums (2012, methodology): “Related literature in more detail Earlier papers that study the link between interest rates and exchange rates with term structure factor models include Nielsen and Saá-Requejo (1993), Saá-Requejo (1994), Bakshi and Chen (1997), and Bansal (1997). A pioneering paper is Backus et al.”
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “Note that Equation (8) may be seen as the nonlinear analogue of (and indeed nests) the predictability regression (3), exactly like Equation (4) is the nonlinear analogue of the Fama regression (2).”
International Capital Markets and Foreign Exchange Risk (2004, background): “These models have the property that the exchange rate risk premium is deterministically related to the interest rates in the two currencies, and Backus et al. (2001) have shown that this property severely limits the ability of these models to capture the forward premium anomaly.”
A Habit-Based Explanation of the Exchange Rate Risk Premium (2010, unknown): “2 as in Backus et al. (1992). This ensures that trade costs increase with trade, but reasonably so: when a country imports the equivalent of 20% of its endowment, the trade cost increases by 2 percentage points.”
Rare Disasters and Exchange Rates (2008, unknown): “Gabaix thanks the NSF for support.”