Nonlinearity in Deviations From Uncovered Interest Parity : An Explanation of the Forward Bias Puzzle

An Explanation of the Forward Bias Puzzle

Nonlinearity in Deviations From Uncovered Interest Parity : An Explanation of the Forward Bias Puzzle
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously... READ MORE...

Publication date: May 2006
ISBN 9781451863963
$15.00

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