Detail publikace

How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis

Autor: doc. PhDr. Tomáš Havránek Ph.D.,
doc. PhDr. Zuzana Havránková Ph.D.,
Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair,
Mgr. Diana Žigraiová ,
Typ: Články v impaktovaných časopisech
Rok: 2021
Číslo: 134
ISSN / ISBN: 0014-2921
Publikováno v: European Economic Review 134, 103714
Místo vydání:
Klíčová slova: Forward rate bias; Uncovered interest parity; Meta-analysis; Publication bias; Model uncertainty
JEL kódy: C83, F31, G14
Citace: https://doi.org/10.1016/j.euroecorev.2021.103714
Granty: GACR 21-09231S Meta-Analyses of Returns on Financial Investment Management Strategies PRIMUS/17/HUM/16 Economics of Energy and Environmental Policy
Abstrakt: 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.
Prosinec 2021
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