Fixes: Of the Forward Discount Puzzle

Robert Flood () and Andrew Rose

The Review of Economics and Statistics, 1996, vol. 78, issue 4, 748-52

Abstract: Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high-interest rate currency tends to appreciate, the 'forward discount puzzle.' Using data from the European Monetary System (EMS), the authors find that a large part of the forward discount puzzle vanishes for regimes of fixed exchange rates. That is, deviations from uncovered interest parity appear to vary in a way that is dependent upon the exchange rate regime. By using the many EMS realignments, the authors are also able to quantify the 'peso problem.' Copyright 1996 by MIT Press.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (98)

Downloads: (external link)
http://links.jstor.org/sici?sici=0034-6535%2819961 ... 0.CO%3B2-G&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Fixes: Of the Forward Discount Puzzle (1994)
Working Paper: Fixes: Of The Forward Discount Puzzle (1994)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:78:y:1996:i:4:p:748-52

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().