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dc.contributor.author김건호-
dc.date.accessioned2017-10-25T02:27:39Z-
dc.date.available2017-10-25T02:27:39Z-
dc.date.issued2015-12-
dc.identifier.citationJOURNAL OF EMPIRICAL FINANCE, v. 34, Page. 99-111en_US
dc.identifier.issn0927-5398-
dc.identifier.issn1879-1727-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0927539815000900?via%3Dihub-
dc.identifier.urihttp://hdl.handle.net/20.500.11754/30263-
dc.description.abstractThis 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.sponsorshipWe 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.isoenen_US
dc.publisherELSEVIER SCIENCE BVen_US
dc.subjectForward premium anomalyen_US
dc.subjectLocal Deviation from Uncovered Interest Parityen_US
dc.subjectKernel smoothingen_US
dc.subjectUniform inferenceen_US
dc.subjectMacroeconomic fundamentalsen_US
dc.subjectFrequentist model averagingen_US
dc.titleWas it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressionsen_US
dc.typeArticleen_US
dc.relation.volume34-
dc.identifier.doi10.1016/j.jempfin.2015.08.007-
dc.relation.page99-111-
dc.relation.journalJOURNAL OF EMPIRICAL FINANCE-
dc.contributor.googleauthorBaillie, Richard T.-
dc.contributor.googleauthorKim, Kun Ho-
dc.relation.code2015016315-
dc.sector.campusS-
dc.sector.daehakCOLLEGE OF ECONOMICS AND FINANCE[S]-
dc.sector.departmentDIVISION OF ECONOMICS & FINANCE-
dc.identifier.pidkunhokim-
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COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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