本文讨论了新西兰代写-期货溢价之谜，并探讨了与之相关的可能解释。正向速率无偏假设是本文的一个基本解释。这一假设意味着，远期利率是与现货利率相对应的未来利率，在风险中性假设和预期的合理范围内作为无偏预测因子。此外，期货溢价之谜与未发现的利益方失败有着更密切的关系。对于远期溢价为何反映了汇率走势的错误方向，最明确的解释是，风险溢价需要考虑离间。这个楔子需要位于实际的变化和预期的变化之间。对风险溢价进行建模是困难的。已经得出结论，远期溢价之谜意味着低利率货币相对于高利率货币有下降的趋势(Kozlova, 2013)。因此，研究结果表明，即使利率规则是由货币政策形成的，投资者的过度自信也会导致模型中出现数量上的似是而非的远期溢价偏倚(Lothian, 2016)。远期溢价之谜可以通过考虑通货膨胀中未被确认的增量与投资者过度反应导致的汇率短期升值有关来解决。
This essay discusses the forward premium puzzle along with ensuring to explore the puzzle related possible explanations. Forward rate unbiasedness hypothesis is an essential explanation utilized for the purpose of this essay. This hypothesis implies that the forward rate is corresponding future rate of spot as an unbiased predictor within the risk neutrality assumption and expectation rationally (Kearns, 2007). The forward premium puzzle furthermore has a closer relationship to the uncovered interest party failure.
This equation’s left hand side is depreciation of ex post while within the parentheses, and the term is forward discounting which is forward premium’s inverse. From this perspective, the puzzle implies that the Beta 1 estimates not only are distinct from the unity value with statistical significance but also the estimates of coefficient are negative generally (Sarno, 2005). This problem is connected with uncovered parity of interest. If interest parity coverage persists, then the following equation holds true:
When such a condition of no profit with arbitrage is substituted, then the equation of forward premium puzzle comes forward as follows:
This is the equation of regression utilized for testing the uncovered interest parity as well as rational expectedness collaborative null hypothesis. This equation reveals findings that there is a negative coefficient in the slope for example when covered parity of interest persists (Nieuwland et al., 2000). There are various reasons behind the existence of forward premium puzzle even under situations when capital is mobile perfectly as per the criterion of covered parity of interest. This is inclusive of the rational expectation hypothesis invalidity, the implementation of econometric issues and the presence of a premium for exchange risk.
The rational expectation hypothesis validity
Issues of Econometric
Interpreting the risk premium
The clearest explanation of why the forward premium depicts exchange rate movement’s wrong direction is that a premium of risk needs to consider driving a wedge. This wedge needs to be between changes that are actual and those which are expected. Modelling the risk premium is difficult.
It has been concluded that the forward premium puzzle implies the tendency of the low interest rate currencies to decline in comparison to the currencies that hold high interest rate (Kozlova, 2013). Therefore, the findings suggest that the overconfidence of the investors results in the emergence of quantitative plausible bias of forward premium in the model even when the rule of interest rate is formed by the monetary policies (Lothian, 2016). The forward premium puzzle can be solved through taking into account that the unrecognized increment in the inflation is related to the short term appreciation of the exchange rate that takes place from the overreaction of the investors.