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Replication data for: Understanding the Forward Premium Puzzle: A Microstructure Approach

Version
V0
Resource Type
Dataset
Creator
  • Burnside, Craig
  • Eichenbaum, Martin
  • Rebelo, Sergio
Publication Date
2008-12-30
Description
  • Abstract

    High interest rate currencies tend to appreciate relative to low interest rate currencies. We argue that adverse selection problems between participants in foreign exchange markets can account for this "forward premium puzzle." The key feature of our model is that the adverse selection problem facing market makers is worse when an agent wants to trade against a public information signal. So, when based on public information, the currency is expected to appreciate, there is more adverse selection associated with a sell order than with a buy order. (JEL E43, F31, G15)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.1.2.127 (Text)
Publications
  • Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo. “Understanding the Forward Premium Puzzle: A Microstructure Approach.” American Economic Journal: Macroeconomics 1, no. 2 (June 2009): 127–54. https://doi.org/10.1257/mac.1.2.127.
    • ID: 10.1257/mac.1.2.127 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio (2008): Replication data for: Understanding the Forward Premium Puzzle: A Microstructure Approach. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114042