{"title":"远期溢价的共同成分:来自亚太地区的证据","authors":"Jun Nagayasu","doi":"10.1111/j.1467-9396.2011.00979.x","DOIUrl":null,"url":null,"abstract":"We empirically analyze the behavior of the forward premium. Unlike previous research, we use data from Asia–Pacific countries and adopt a panel data approach that allows us to decompose the forward premium into common and idiosyncratic components. Our data suggest the presence of one common factor and the stationarity of both components for short maturities, leading to the conclusion of a stationary forward premium. In contrast, the stationarity of the premium is less supported by the longer maturity data. Furthermore, a large portion of the premium fluctuation is shown to be due to a common factor, particularly over the short time horizon, which in turn can be explained by economic developments in the USA.","PeriodicalId":351939,"journal":{"name":"Wiley-Blackwell: Review of International Economics","volume":"19 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"The Common Component in Forward Premiums: Evidence from the Asia–Pacific Region\",\"authors\":\"Jun Nagayasu\",\"doi\":\"10.1111/j.1467-9396.2011.00979.x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We empirically analyze the behavior of the forward premium. Unlike previous research, we use data from Asia–Pacific countries and adopt a panel data approach that allows us to decompose the forward premium into common and idiosyncratic components. Our data suggest the presence of one common factor and the stationarity of both components for short maturities, leading to the conclusion of a stationary forward premium. In contrast, the stationarity of the premium is less supported by the longer maturity data. Furthermore, a large portion of the premium fluctuation is shown to be due to a common factor, particularly over the short time horizon, which in turn can be explained by economic developments in the USA.\",\"PeriodicalId\":351939,\"journal\":{\"name\":\"Wiley-Blackwell: Review of International Economics\",\"volume\":\"19 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley-Blackwell: Review of International Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/j.1467-9396.2011.00979.x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Review of International Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/j.1467-9396.2011.00979.x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Common Component in Forward Premiums: Evidence from the Asia–Pacific Region
We empirically analyze the behavior of the forward premium. Unlike previous research, we use data from Asia–Pacific countries and adopt a panel data approach that allows us to decompose the forward premium into common and idiosyncratic components. Our data suggest the presence of one common factor and the stationarity of both components for short maturities, leading to the conclusion of a stationary forward premium. In contrast, the stationarity of the premium is less supported by the longer maturity data. Furthermore, a large portion of the premium fluctuation is shown to be due to a common factor, particularly over the short time horizon, which in turn can be explained by economic developments in the USA.
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