Understanding the Forward Premium Puzzle: A Microstructure Approach

• 成果类型: Article
• 署名作者: Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio
• 署名单位: Duke University; Northwestern University; Northwestern University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.1.2.127
• 发表日期: 2009
• 页码: 127-154
• 关键词: market

摘要

High interest rate currencies tend to appreciate relative to low interest rate currencies. We argue that adverse selection problems between participants in foreign exchange markets can account for this forward premium puzzle. The key feature of our model is that the adverse selection problem facing market makers is worse when an agent wants to trade against a public information signal. So, when based on public information, the currency is expected to appreciate, there is more adverse selection associated with a sell order than with a buy order. (JEL E43, F31, G15)