Affine term structure models and the forward premium anomaly

• 成果类型: Article
• 署名作者: Backus, DK; Foresi, S; Telmer, CI
• 署名单位: New York University; National Bureau of Economic Research; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00325
• 发表日期: 2001
• 页码: 279-304
• 关键词: FOREIGN-EXCHANGE MARKETS; interest-rate parity; EXCESS RETURNS; Time-variation; RISK PREMIUMS; Currency; variance; puzzle; real

摘要

One of the most puzzling features of currency prices is the forward premium anomaly: the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties of either alternative to have important shortcomings.