The common component in the forward premium : evidence from the Asia-Pacific region
The common component in the forward premium : evidence from the Asia-Pacific region
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远期保费的共同组成部分：来自亚太地区的证据
DOI：
10.1111/j.1467-9396.2011.00979.x
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Jun
中科院分区：
文献类型：
--
作者：
Nagayasu;Jun
我们实证分析了远期溢价的行为。与以往的研究不同，我们使用来自亚太国家的数据，并采用面板数据方法，使我们能够将远期溢价分解为共同和特殊的组成部分。我们的数据表明，存在一个共同的因素和平稳性的两个组成部分的短期到期，导致一个固定的远期溢价的结论。相比之下，保费的平稳性不太支持较长的到期日数据。此外，保费波动的很大一部分是由于一个共同的因素，特别是在短期内，这反过来又可以解释为美国的经济发展。
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.