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07-033/2 - The Forward Premium Puzzle only emerges gradually


  • Authors
    Kerstin Bernoth, De Nederlandsche Bank, and ZEI-University of Bonn; Jürgen von Hagen, University of Bonn, Indiana University, and CEPR; Casper G. de Vries, Erasmus Universiteit Rotterdam
  • Publication date
    March 29, 2007
  • Keywords
    exchange rates; market efficiency; forward premium puzzle; uncovered interest parity; futures rates
  • JEL
    F31; F37; G13