http://www.bis.org/cbhub/list/author/author_2481/index.rss Research hub papers by author Casper de Vries en http://www.dnb.nl/en/binaries/Working%20paper%20246-2010_tcm47-232349.pdf Netherlands Bank DNB Working Papers by Kerstin Bernoth, Juergen von Hagen and Casper de Vries The Forward Premium Puzzle and Latent Factors Day by Day 2010-07-14T12:41:59Z We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk. Keywords: forward premium puzzle, futures rates, latent factor. JEL classification: F31, F37, G13. The Forward Premium Puzzle and Latent Factors Day by Day 2010-07-14T12:41:59Z Full text http://www.dnb.nl/en/binaries/Working%20paper%20246-2010_tcm47-232349.pdf Kerstin Bernoth Casper de Vries Juergen von Hagen Kerstin Bernoth, Juergen von Hagen and Casper de Vries 2010-04 Netherlands Bank DNB Working Papers F31 F37 G13 http://www.dnb.nl/dnb/home/file/Working%20Paper%20No%20125%202007_tcm47-146782.pdf Netherlands Bank DNB Working Papers by Kerstin Bernoth, Juergen von Hagen and Casper de Vries The Forward Premium Puzzle: New Evidence from Futures Contracts 2007-02-01T12:00:00Z The forward premium puzzle is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive and close to one. This paper contributes by using futures data instead of forwards to complete the maturity spectrum at the (multi-) day level. We find that the correlation only slowly turns negative as the number of days to maturity is increased to the monthly level. The typical shape of the premium correlation with regard to the forward maturity length appears to be V-shaped. The Forward Premium Puzzle: New Evidence from Futures Contracts 2007-02-01T12:00:00Z Full text http://www.dnb.nl/dnb/home/file/Working%20Paper%20No%20125%202007_tcm47-146782.pdf Kerstin Bernoth Casper de Vries Juergen von Hagen Kerstin Bernoth, Juergen von Hagen and Casper de Vries 2007-01 Netherlands Bank DNB Working Papers http://www.ecb.int/pub/pdf/scpwps/ecbwp324.pdf European Central Bank Working papers by Philipp Hartmann, Stefan Straetmans and Casper de Vries Fundamentals and joint currency crises 2004-04-13T17:32:00Z Fundamentals and joint currency crises 2004-04-13T17:32:00Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp324.pdf Philipp Hartmann Casper de Vries Stefan Straetmans Philipp Hartmann, Stefan Straetmans and Casper de Vries 2004-03 European Central Bank Working papers C49 F31 G12 G39