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dc.contributor.authorHassan, Tarek A.en_US
dc.contributor.authorMano, Rui C.en_US
dc.date2018-10-01
dc.date.accessioned2019-10-01T17:50:36Z
dc.date.available2019-10-01T17:50:36Z
dc.date.issued2019-02-01
dc.identifier.citationTarek A Hassan, Rui C Mano. 2019. "Forward and Spot Exchange Rates in a Multi-Currency World." The Quarterly Journal of Economics, Volume 134, Issue 1, pp. 397 - 450. https://doi.org/10.1093/qje/qjy026
dc.identifier.issn0033-5533
dc.identifier.issn1556-5068
dc.identifier.urihttps://hdl.handle.net/2144/38156
dc.description.abstractSeparate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate regression-based and portfolio-based anomalies, to test whether they are empirically distinct, and to estimate the joint restrictions they place on models of currency returns. We find that the forward premium puzzle (FPP) and the "dollar trade" anomaly are intimately linked. Both anomalies are almost exclusively driven by the cross-time component. By contrast, the "carry trade" anomaly is driven largely by the cross-currency component. The simplest model that the data do not reject features a highly persistent asymmetry that makes some currencies pay higher expected returns than others, and a more elastic expected return on the US dollar than on other currencies. In addition, we never reject the hypothesis that currencies with high interest rates are expected to depreciate rather than appreciate, so that none of our estimates require a systematic association between currency risk premia and predictable movements in exchange rates.en_US
dc.format.extent397 - 450en_US
dc.publisherOxford University Press (OUP)en_US
dc.relation.ispartofThe Quarterly Journal of Economics
dc.relation.isreplacedby2144/40014
dc.relation.isreplacedbyhttps://hdl.handle.net/2144/40014
dc.subjectInternational financial marketsen_US
dc.subjectEconomicsen_US
dc.subjectBond interest ratesen_US
dc.subjectForeign exchangeen_US
dc.subjectAsset pricingen_US
dc.subjectTrading volumeen_US
dc.titleForward and spot exchange rates in a multi-currency worlden_US
dc.typeArticleen_US
dc.description.versionAccepted manuscripten_US
dc.identifier.doi10.1093/qje/qjy026
pubs.elements-sourcemanual-entryen_US
pubs.notesRevision requested by the Quarterly Journal of Economics, working on 2nd round revisionen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusPublished onlineen_US
dc.date.online2018-10-25
dc.date.online2018-10-25
dc.identifier.mycv315821


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