Replication data for: Understanding the Forward Premium Puzzle: A Microstructure Approach

Principal Investigator(s):  View help for Principal Investigator(s) Craig Burnside; Martin Eichenbaum; Sergio Rebelo

Version:  View help for Version V1

Name File Type Size Last Modified
AEJMacro-2008-0028_readme.pdf application/pdf 20.7 KB 10/12/2019 03:09:PM
LICENSE.txt text/plain 14.6 KB 10/12/2019 03:09:PM
data.xls application/vnd.ms-excel 338.5 KB 10/12/2019 03:09:PM
example.m text/plain 1000 bytes 10/12/2019 03:09:PM
fig1.m text/plain 1.8 KB 10/12/2019 03:09:PM
figure-data.xls application/vnd.ms-excel 15 KB 10/12/2019 03:09:PM
figures.m text/plain 2.8 KB 10/12/2019 03:09:PM
table1.xls application/vnd.ms-excel 27 KB 10/12/2019 03:09:PM
table1_fig2.m text/plain 2.2 KB 10/12/2019 03:09:PM

Project Citation: 

Burnside, Craig, Eichenbaum, Martin, and Rebelo, Sergio. Replication data for: Understanding the Forward Premium Puzzle: A Microstructure Approach. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114042V1

Project Description

Summary:  View help for Summary High interest rate currencies tend to appreciate relative to low interest rate currencies. We argue that adverse selection problems between participants in foreign exchange markets can account for this "forward premium puzzle." The key feature of our model is that the adverse selection problem facing market makers is worse when an agent wants to trade against a public information signal. So, when based on public information, the currency is expected to appreciate, there is more adverse selection associated with a sell order than with a buy order. (JEL E43, F31, G15)

Scope of Project

JEL Classification:  View help for JEL Classification
      E43 Interest Rates: Determination, Term Structure, and Effects
      F31 Foreign Exchange
      G15 International Financial Markets


Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.