Browsing by Subject "forward premium puzzle"

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  • Burnside, A. Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T. (SSRN eLibrary, 2006)
    Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle` represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation ...