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Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/63

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Πλοήγηση Διδακτορικές διατριβές ανά Συγγραφέα "Elias, Nikolaos A."

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Essays on the forward premium bias
    (01/20/2021) Elias, Nikolaos A.; Ηλίας, Νικόλαος; Athens University of Economics and Business, Department of Economics; Philippopoulos, Apostolis; Arvanitis, Stylianos; Pagratis, Spyros; Spyrou, Spyros; Georgoutsos, Dimitrios; Chalamandaris, George; Tzavalis, Elias
    The objective of this thesis is to provide new insights into the explanation of the forward premium puzzle (or anomaly), and our ability in forecasting exchange rate changes. After a brief review of the covered, uncovered interest rate parity (CIRP,UIRP) and some of the most popular explanations of the forward premium puzzle, the thesis presents three essays in order to shed light on the forward rate anomaly.The thesis provides a number of useful results for academics and practitioners. First, it shows that a regression model of interest rate differentials across countries, which is adjusted for the exchange rate risk premium effect, can reasonably forecast future exchange rate changes. Second, it demonstrates that the forward premium, embodied in the interest rates differential, can consistently explain most of the bias of the interest rates and holding-period returns differentials between home and foreign bonds to predict future changes in the exchange rate. Third, it shows that the currency carry trade strategy, taking positions in higher-yielding currencies by funding them by lower-interest rates currencies, can explain consistently the forward premium bias, only if the interest rates differential is positive, and it is associated with a carry-trade position in the US dollar.