On Estimating Risk Premium With Flexible Fourier Form

Jing Li ()
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Jing Li: Miami University

Economics Bulletin, 2021, vol. 41, issue 3, 1026-1035

Abstract: This paper proposes a semi-parametric estimate of risk premium using the Flexible Fourier From with a small number of low-frequency components. We provide an application to the forecast error decomposition based on the uncovered interest rate parity (UIP). Limited support is found for the omitted-variable explanation of the UIP puzzle.

Keywords: Flexible Fourier Form; Risk Premium; UIP Puzzle (search for similar items in EconPapers)
JEL-codes: C4 F3 (search for similar items in EconPapers)
Date: 2021-07-18
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