Can a habit formation model really explain the Forward Premium Anomaly?
Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999) s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only p...
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| Format: | masterThesis |
| Language: | eng |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/10438/2714 |
| Country: | Brazil |
| Oai: | oai:bibliotecadigital.fgv.br:10438/2714 |