Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums

John Barkoulas; Christopher F. Baum; Atreya Chakraborty

doi:10.1016/S0164-0704(03)00009-0

Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums

John Barkoulas
, Christopher F. Baum
, Atreya Chakraborty

CM - Dean's Office

University of Tennessee, Knoxville
Athens Lab. of Business Admin.
Boston College
The Brattle Group, Inc., USA

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	109-122
Number of pages	14
Journal	Journal of Macroeconomics
Volume	25
Issue number	1
DOIs	https://doi.org/10.1016/S0164-0704(03)00009-0
State	Published - Mar 2003

ASJC Scopus Subject Areas

Economics and Econometrics

Keywords

Currency risk premium
Foreign exchange market efficiency
Forward premium
Panel unit-root tests

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10.1016/S0164-0704(03)00009-0

Cite this

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title = "Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums",

keywords = "Currency risk premium, Foreign exchange market efficiency, Forward premium, Panel unit-root tests",

author = "John Barkoulas and Baum, \{Christopher F.\} and Atreya Chakraborty",

year = "2003",

month = mar,

doi = "10.1016/S0164-0704(03)00009-0",

language = "English",

volume = "25",

pages = "109--122",

journal = "Journal of Macroeconomics",

issn = "0164-0704",

publisher = "Elsevier B.V.",

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T1 - Forward premiums and market efficiency

T2 - Panel unit-root evidence from the term structure of forward premiums

AU - Barkoulas, John

AU - Baum, Christopher F.

AU - Chakraborty, Atreya

PY - 2003/3

Y1 - 2003/3

KW - Currency risk premium

KW - Foreign exchange market efficiency

KW - Forward premium

KW - Panel unit-root tests

UR - https://www.scopus.com/pages/publications/0346903216

UR - https://www.scopus.com/pages/publications/0346903216#tab=citedBy

U2 - 10.1016/S0164-0704(03)00009-0

DO - 10.1016/S0164-0704(03)00009-0

M3 - Article

AN - SCOPUS:0346903216

SN - 0164-0704

VL - 25

SP - 109

EP - 122

JO - Journal of Macroeconomics

JF - Journal of Macroeconomics

IS - 1

ER -

Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums

ASJC Scopus Subject Areas

Keywords

Access to Document

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