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金利平価とフォワード・プレミアム・パズル
https://doi.org/10.18999/ecos.59.3.37
https://doi.org/10.18999/ecos.59.3.374e3e19bf-8585-4d71-a8e0-37b542ff4c24
名前 / ファイル | ライセンス | アクション |
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ecos_59_3_37.pdf (1.1 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2012-02-02 | |||||
タイトル | ||||||
タイトル | 金利平価とフォワード・プレミアム・パズル | |||||
言語 | ja | |||||
その他のタイトル | ||||||
その他のタイトル | Interest Parity and the Forward Premium Puzzle | |||||
言語 | en | |||||
著者 |
小林, 照義
× 小林, 照義× KOBAYASHI, Teruyoshi |
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アクセス権 | ||||||
アクセス権 | open access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
抄録 | ||||||
内容記述 | This note provides a brief explanation about the so-called "forward premium anomaly" based upon asset pricing theory. Most of the models that have been suggested so far in explaining the anomaly focus on the risk premium demanded by investors. I first show how risk premium is calculated using the standard asset pricing model. The mechanism of the anomaly is then considered within the asset pricing model, regarding foreign currency as a risky asset. I also introduce some important previous studies such as Backus et al. (2001) and Lustig and Verdelhan (2006). | |||||
言語 | en | |||||
内容記述タイプ | Abstract | |||||
出版者 | ||||||
言語 | ja | |||||
出版者 | 名古屋大学大学院経済学研究科 | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
出版タイプ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
ID登録 | ||||||
ID登録 | 10.18999/ecos.59.3.37 | |||||
ID登録タイプ | JaLC | |||||
ISSN(print) | ||||||
収録物識別子タイプ | PISSN | |||||
収録物識別子 | 0022-9725 | |||||
書誌情報 |
ja : 経済科学 巻 59, 号 3, p. 37-50, 発行日 2011-12-25 |
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著者版フラグ | ||||||
値 | publisher | |||||
URI | ||||||
識別子 | http://hdl.handle.net/2237/15921 | |||||
識別子タイプ | HDL |