New Insights on the Forward Premium Regression through a Portfolio-based Approach

Jinyong Kim, Kun-Ho Kim, Taejin Kim
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引用次数: 1

Abstract

This study proposes a portfolio-based forward premium regression to estimate its time-varying coefficients and to conduct simultaneous inference. To this end, we sort currency portfolios on forward premiums. The empirical results show much weaker evidence of Uncovered Interest Parity (UIP) breakdown for the currency portfolios than for individual currencies. The main implication is that the effects of two sources of heterogeneity—exposure to currency-specific risk and exposure to common risk—on the forward premium anomaly diminish with diversification through portfolio construction. The study also illustrates that the U.S. fundamentals have persistent predictive power for the risk premium of each portfolio.
基于投资组合方法的远期溢价回归新见解
本研究提出一种基于组合的正向溢价回归来估计其时变系数并进行同步推理。为此,我们根据远期溢价对货币投资组合进行排序。实证结果表明,与单个货币相比,货币组合中未覆盖利率平价(UIP)分解的证据要弱得多。其主要含义是,两种异质性来源——对货币特定风险的暴露和对共同风险的暴露——对远期溢价异常的影响随着投资组合结构的多样化而减弱。该研究还表明,美国的基本面对每个投资组合的风险溢价具有持久的预测能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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