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The forward premium puzzle in a two-country world

Author: Ian Martin; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2011.
Series: Working paper series (National Bureau of Economic Research), no. 17564.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, the small country's bonds are risky, and uncovered interest parity fails, with positive excess returns available to investors who borrow at the large country's interest rate and lend at the small country's interest rate. I  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ian Martin; National Bureau of Economic Research.
OCLC Number: 759860403
Notes: Title from http://www.nber.org/papers/17564 viewed Nov. 7, 2011.
"November 2011."
Description: 1 online resource (38 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 17564.
Responsibility: Ian Martin.

Abstract:

I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, the small country's bonds are risky, and uncovered interest parity fails, with positive excess returns available to investors who borrow at the large country's interest rate and lend at the small country's interest rate. I use a diagrammatic approach to derive these and other results in a calibration-free way.

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