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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 59(3)

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.59.3.37
4e3e19bf-8585-4d71-a8e0-37b542ff4c24
名前 / ファイル ライセンス アクション
ecos_59_3_37.pdf ecos_59_3_37.pdf (1.1 MB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
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
その他のタイトル
その他のタイトル Interest Parity and the Forward Premium Puzzle
著者 小林, 照義

× 小林, 照義

WEKO 43564

小林, 照義

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KOBAYASHI, Teruyoshi

× KOBAYASHI, Teruyoshi

WEKO 43565

KOBAYASHI, Teruyoshi

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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).
内容記述タイプ Abstract
出版者
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
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 ISSN
収録物識別子 0022-9725
書誌情報 経済科学

巻 59, 号 3, p. 37-50, 発行日 2011-12-25
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
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