 The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust testsCanadian Journal of Economics, 2006, vol. 39, issue 4, 1244-1281 Abstract: Recent literature has questioned statistical inference in predictive regressi on with persistent regressors, suggesting a possible explanation for puzzles suc h as the forward premium anomaly. We therefore revisit this puzzle using three a lternative econometric methods known to provide reliable inference in the presen ce of persistent conditioning variables. While they provide less evidence agains t forward rate unbiasedness than traditional predictive regression tests, we sti ll reject using at least one method for all six currencies. Thus, while the econ ometric problems inherent in predictive regression likely play a role in this an omaly, we are left with an economic puzzle even after accounting for their influence. JEL-codes: C22 F31 (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cje:issued:v:39:y:2006:i:4:p:1244-1281 Ordering information: This journal article can be ordered from Access Statistics for this article Canadian Journal of Economics is currently edited by Zhiqi Chen More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC. |
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