| アイテムタイプ |
デフォルトアイテムタイプ（フル）その２(1) |
| 公開日 |
2017-05-20 |
| タイトル |
|
|
タイトル |
Forward Discount Puzzle and Liquidity Effects: Some Evidence from Exchange Rates among US, Canada, and Japan |
|
言語 |
en |
| 作成者 |
福田, 祐一
齊藤, 誠
|
| アクセス権 |
|
|
アクセス権 |
open access |
|
アクセス権URI |
http://purl.org/coar/access_right/c_abf2 |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
forward discount anomaly |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
liquidity effects |
| 内容記述 |
|
|
内容記述タイプ |
Other |
|
内容記述 |
the current version: June, 2001 |
|
言語 |
en |
| 出版者 |
|
|
出版者 |
Graduate School of Economics, Hitotsubashi University |
| 日付 |
|
|
日付 |
2001-06 |
|
日付タイプ |
Issued |
| 言語 |
|
|
言語 |
eng |
| 資源タイプ |
|
|
資源タイプ識別子 |
http://purl.org/coar/resource_type/c_18gh |
|
資源タイプ |
technical report |
| 出版タイプ |
|
|
出版タイプ |
VoR |
|
出版タイプResource |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| 関連情報 |
|
|
関連タイプ |
isPartOf |
|
|
関連名称 |
Discussion papers ; No. 2001-06 |
| ページ数 |
|
|
ページ数 |
31 |
| JEL |
|
|
値 |
E44 |
| JEL |
|
|
値 |
F31 |
| 抄録（第三者提供不可） |
|
|
値 |
This paper empirically examines whether the interaction between foreign exchange markets and monetary markets can help to resolve the forward discount puzzle. Following the monetary models of Lucas [1990] and Fuerst [1992], we define as liquidity effects (the negative impact of monetary injection on nominal interest rates), temporary deviations from the standard Euler equation. The liquidity effect identified by these models weakens the linkage between current forward raates and expected future spot rates, and improves on the standard rational expectations model that predicts a one-to-one correspondence between the two. Using time-series of exchange rates among US, Canada, and Japan, this paper shows that the liquidity measure identified above has an impact on forward premiums, and that once the liquidity effect is taken into consideration, the unbiased prediction of the forward discount rate is recovered to some extent in a theoretically consistent manner. |
070econDP01-06.pdf (1386697 bytes)
