Anomalna forvard premija kursa evra
Sažetak
Teorijski posmatrano, fluktuacije u valutnim kursevima trebalo bi da zavise pozitivno od kamatnog diferencijala. U ovom radu se empirijski ispituje da li ovakva veza postoji između kursa EUR/RSD i odgovarajućih kamatnih stopa na međubankarskom tržištu. Ocene dobijene na osnovu modela linearne regresije, na dnevnim podacima u periodu između 2008. i 2015. godine, ukazuju na to da je pomenuta veza zapravo negativna, saglasno anomaliji forvard premije. Rezultat opstaje na različitim vremenskim horizontima. Predvidivost kursa se akumulira vremenom. Nepokriveni kamatni paritet ne važi.
Reference
Bacchetta, P., & van Wincoop, E. (2007). Random walk expectations and the forward discount puzzle. American Economic Review, 97, 346-350.
Bacchetta, P., & van Wincoop, E. (2010). Infrequent portfolio decisions: A solution to the forward discount puzzle. American Economic Review, 100, 870-904.
Baillie, R.T., & Bollerslev, T. (2000). The Forward Premium Anomaly Is Not As Bad As You Think. Journal of International Money and Finance, 19, 471-488.
Bansal, R., & Dahlquist, M. (2000). The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies. Journal of International Economics, 51, 115-144.
Bekaert, G., & Hodrick, R.J. (1993). On Biases in the Measurement of Foreign Exchange Risk Premiums. Journal of International Money and Finance, 12, 115-138.
Bekaert, G. (1995). The Time-Variation of Expected Returns and Volatility in Foreign Exchange Markets. Journal of Business and Economic Statistics, 13, 397-408.
Bekaert, G. (1996). The Time-Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective. Review of Financial Studies, 9, 427-470.
Bekaert, G., Hodrick, R.J., & Marshall, D.A. (1997). The Implications of First-Order Risk Aversion for asset Market Risk Premiums. Journal of Monetary Economics, 40, 467-509.
Boudoukh, J., Richardson, M., & Whitelaw, R.F. (2013). New evidence on the forward premium puzzle. Working paper. Retrieved from http://pages.stern.nyu.edu/~rwhitela/papers/FwdPremPuzz_2013_06_12.pdf
Burnside, C., Eichenbaum, M., & Rebelo, S. (2009). The returns to currency speculation in emerging markets. American Economic Review, 97, 333-338.
Cheung, Y.W., Chinn, M., & Pascual, A.G. (2005). Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive.Journal of International Money and Finance, 24, 1150-1175.
Chin, M.D., & Meredith, G. (2004). Monetary Policy and Long-Horizon Uncovered Interest Parity. IMF Staff Paper, 409-430.
Chin, M.D., & Meredith, G. (2005). Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era. Working Paper 11077. Retrieved from http://www.ssc.wisc.edu/~mchinn/uip_empr2005.pdf
Chinn, M., & Frankel, J. (1994). Patterns in Exchange Rate Forecasts for Twenty-Five Currencies. Journal of Money, Credit and Banking, 26(4), 26(4): 759. doi:10.2307/2077945
Chinn, M.D., & Frankel, J.A. (2002). Survey Data on Exchange Rate Expectations: More Currencies, More Horizons, More Tests. In W. Allen & D. Dickinson (Eds.), Monetary Policy, Capital Flows and Financial Market Developments in the Era of Financial Globalisation: Essays in Honour of Max Fry. (pp. 145-167). London: Routledge.
Clarida, R. & Waldman, D. (2007) Is Bad News About Inflation Good News for the Exchange Rate? Working Paper No. 13010, National Bureau of Economic Research.
Engel, C., & West, K.D. (2005). Exchange Rates and Fundamentals. Journal of Political Economy, 113, 485-517.
Engel, C. (1996). The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence. Journal of Empirical Finance, 3, 123-192.
Evans, M. (2011). Exchange Rate Dynamics. Princeton, NJ: Princeton University Press.
Fama, E.F., & Gibbons, M. (1984). A Comparison of Inflation Forecasts. Journal of Monetary Economics, 13, 327-348.
Fama, E.F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics, 14, 319-338.
Froot, K.A., & Frankel, J.A. (1989). Forward Discount Bias: Is it an Exchange Risk Premium. Quarterly Journal of Economics, 104(1), 104(1): 139. doi:10.2307/2937838
Graveline, J.J. (2006). Exchange Rate Volatility and the Forward Premium Anomaly. working paper. Retrieved from http://www.nccr-finrisk.uzh.ch/media/pdf/GravelineJMP.pdf
Hodrick, R.J. (1987). The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Switzerland: Harwood Academic Publishers, Chur.
Hodrick, R. J. (1987) The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Harwood Academic Publishers, Chur, Switzerland.
Hodrick, R.J. (2000). International Financial Management. Englewood Cliffs, NJ: Prentice-Hall..
Lewis, K.K. (1989). Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange.American Economic Review, 79(4), 621-636.
Mark, N.C., & Wu, Y. (1998). Rethinking Deviations from Uncovered Interest Rate Parity: The Role of Covariance Risk and Noise. Economic Journal, 108, 1686-1706.
Maynard, A., & Phillips, P.C.B. (2001). Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly. Journal of Applied Econometrics, 16(6), 671-708. 16(6): 671-708. doi:10.1002/jae.624
Maynard, A. (2003). Testing for Forward-rate Unbiasedness on Regression in Levels and in Returns. Review of Economics and Statistics, 85(2), 313-327.
McCallum, B.T. (1994). A Reconsideration of the Uncovered Interest Parity Relationship. Journal of Monetary Economics,33, 105-132.
Meese, R.A., & Rogoff, K.S. (1983). Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample. Journal of International Economics, 14(1-2), 3-24.
Meese, R.A., & Rogoff, K.S. (1983). The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Mis-specification. In J. Frenkel (Ed.), Exchange Rates and International Macroeconomics. Chicago: NBER and University of Chicago Press.
Meese, R.A., & Rogoff, K.S. (1988). Was it Real?, The Exchange Rate-Interest Differential Relation over the Modern Floating Rate Period. Journal of Finance, 43, 923-948.
Mengistu, A. (2014) Testing the UIP Hypothesis-Using Data from Partially Dollarized Developing Countries. International Journal of Economics and Finance, 6(4), 135-146. doi: http://dx.doi.org/10.5539/ijef.v6n4p135.
Meredith, G., & Chinn, M.D. (1998). Long-horizon uncovered interest rate parity. working paper, No. 6797. Retrieved from http://www.eco.unibs.it/~vassalli/Long-horizon%20UIP.pdf
Moore, M.J. (1994). Testing for Unbiasedness in Forward Markets. The Manchester School, 62, 67-78. Supplement.
Petrović, P.M. (2013a) Testing of empirical grounds for theoretical models of real exchange rate: Research of real exchange rate between RSD and Euro. Industrija, 41(1), 99-115. doi:10.5937/industrija41-3522.
Petrović, P.M. (2013b) Testing of real exchange rate – real interest rate differential relationship in Serbia-EMU case. Industrija, 41(4), 111-125. doi: 10.5937/industrija41-4242.
Rossi, B. (2013). Exchange Rate Predictability. CREI working paper. Retrieved from http://crei.cat/people/rossi/Rossi_ExchangeRatePredictability_Feb_13.pdf
Tambakis, D.N., & Tarashev, N.A. (2012). Systematic Monetary Policy and the Forward Premium Puzzle. Working Paper 396. Retrieved from http://www.bis.org/publ/work396.pdf
Villanueva, O.M. (2005). FX Dynamics, Limited Participation, and the Forward Bias Anomaly. The Financial Review, 10, 67-93.
Wu, Y., & Zhang, H. (1996). Asymmetry in Forward Exchange Rate Bias: A Puzzling Result. Economics Letters, 50, 407-411.