Browsing Department of Economics by Author "Chakraborty, Avik, 1975-"

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  • Can Perpetual Learning Explain the Forward Premium Puzzle? 
    Chakraborty, Avik, 1975-; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2006-08-28)
    Under rational expectations and risk neutrality the linear projection of exchange rate change on the forward premium has a unit coefficient. However, empirical estimates of this coefficient are significantly less than ...
  • Econometrics of the forward premium puzzle 
    Chakraborty, Avik, 1975-; Haynes, Stephen E., 1945- (University of Oregon, Dept of Economics, 2005-09-15)
    This paper explores from a new perspective the forward premium puzzle, i.e., why a regression of the change in the future spot exchange rate on the forward premium paradoxically yields a coefficient that is frequently ...
  • Learning, the Forward Premium Puzzle and Market Efficiency 
    Chakraborty, Avik, 1975- (University of Oregon, Dept of Economics, 2004-10-01)
    The Forward Premium Puzzle is one of the most prominent empirical anomalies in international finance. The forward premium predicts exchange rate depreciation but typically with the opposite sign and smaller magnitude than ...

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