The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies

By Ravi Bansal, Magnus Dahlquist. 2000

496 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5c71f391b7854464b379db2e0b63e86345920cef

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Citations in the corpus

Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “Our main result also holds if we separate the sample countries into developed economies and emerging economies (Bansal and Dahlquist, 2000).”
Uncovered Interest Rate Parity and the Term Structure (2002, background): “6 There appears to be some evidence that UIRP holds up better in developing countries (Bansal and Dahlquist, 2000) and in the 1990s (Flood and Rose, 2002).”
A Habit-Based Explanation of the Exchange Rate Risk Premium (2010, unknown): “Bansal & Dahlquist (2000) show that U.I.P is not rejected at high inflation levels, and likewise Huisman, Koedijka, Kool, & Nissen (1998) find that U.I.P holds for very large forward premia.”
Properties of Foreign Exchange Risk Premiums (2012, background): “…in the context of incomplete information processing, e.g. Bacchetta and van Wincoop (2009); differences in developed versus emerging markets, e.g. Bansal and Dahlquist (2000) and Frankel and Poonawala (2010); and the profitability and economic value of currency speculation, e.g. Burnside et al.…”
The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets (2006, background): “, unbiasedness tends to hold better when in the emerging economy the inflation rate and inflation volatility are high, or per capita incomes are low (Bansal and Dahlquist, 2000).”
Forward and Spot Exchange Rates in a Multi-Currency World* (2018, unknown): “(4)See, for example, Tyron (1979), Hansen and Hodrick (1980), Bilson (1981), Meese and Rogoff (1983), Fama (1984), Backus, Gregory, and Telmer (1993), Evans and Lewis (1995), Bekaert (1996), Bansal (1997), Bansal and Dahlquist (2000), Chinn (2006), Graveline (2006), Burnside et al.”
Crash-Neutral Currency Carry Trades (2014, unknown): “Since the state-contingent payoffs, H(S) = (Rt,τ (St+τ )) , satisfy the above technical conditions, we can obtain the prices of the non-central moment swaps, by substituting the relevant derivatives into (7).”
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly (2006, methodology): “Also, some recent applied research, e.g. Bansal and Dahlquist (2000), has found the size and extent of the anomaly to be related to the interest rate differential.”
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “…future exchange rates in a nonlinear fashion (e.g., Bilson, 1981; Flood and Rose, 1994; Flood and Taylor, 1996; Bansal, 1997; Huisman et al., 1998; Bansal and Dahlquist, 2000; Clarida et al., 2003, 2006; Sercu and Vandebroek, 2005), the potential importance of nonlinearities to shed light on the…”
Common Risk Factors in Currency Markets (2011, unknown): “An alternative explanation of our findings is that the interest rate is simply one of the characteristics that determines returns as suggested by Bansal and Dahlquist (2000).5 Ranaldo and Soderlind (2010), for example, pursue this further by arguing that some currencies are viewed simply as safe…”