Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김건호 | - |
dc.date.accessioned | 2017-10-25T02:27:39Z | - |
dc.date.available | 2017-10-25T02:27:39Z | - |
dc.date.issued | 2015-12 | - |
dc.identifier.citation | JOURNAL OF EMPIRICAL FINANCE, v. 34, Page. 99-111 | en_US |
dc.identifier.issn | 0927-5398 | - |
dc.identifier.issn | 1879-1727 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0927539815000900?via%3Dihub | - |
dc.identifier.uri | http://hdl.handle.net/20.500.11754/30263 | - |
dc.description.abstract | This paper uses recently developed kernel smoothing regression procedures and uniform confidence bounds to investigate the forward premium anomaly. These new statistical methods estimate the local time-varying slope coefficient of the regression of spot returns on the lagged interest rate differential. Uniform confidence bands are used to test when uncovered interest parity is violated. The estimated betas in the forward premium smoothed regression are found to vary substantially over time and to be partially explicable in terms of lagged fundamentals and money growth volatilities arising from risk premium. Frequentist model averaging procedures indicate the relative importance of these variables in terms of explaining movements in the betas and hence the apparent causes of regimes where UIP fails. (C) 2015 Elsevier B.V. All rights reserved. | en_US |
dc.description.sponsorship | We thank the Editor (Dr. Christian Wolff) and an anonymous referee for their helpful comments and suggestions. Kim gratefully acknowledges funding from the National Research Foundation of Korea Grant (NRF-2014S1A5A8016336) by the Korean Government. | en_US |
dc.language.iso | en | en_US |
dc.publisher | ELSEVIER SCIENCE BV | en_US |
dc.subject | Forward premium anomaly | en_US |
dc.subject | Local Deviation from Uncovered Interest Parity | en_US |
dc.subject | Kernel smoothing | en_US |
dc.subject | Uniform inference | en_US |
dc.subject | Macroeconomic fundamentals | en_US |
dc.subject | Frequentist model averaging | en_US |
dc.title | Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions | en_US |
dc.type | Article | en_US |
dc.relation.volume | 34 | - |
dc.identifier.doi | 10.1016/j.jempfin.2015.08.007 | - |
dc.relation.page | 99-111 | - |
dc.relation.journal | JOURNAL OF EMPIRICAL FINANCE | - |
dc.contributor.googleauthor | Baillie, Richard T. | - |
dc.contributor.googleauthor | Kim, Kun Ho | - |
dc.relation.code | 2015016315 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ECONOMICS AND FINANCE[S] | - |
dc.sector.department | DIVISION OF ECONOMICS & FINANCE | - |
dc.identifier.pid | kunhokim | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.