Browsing FGV EPGE - Ensaios Econômicos by Author "Vasconcelos, Jivago B. Ximenes de"

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    • Can a habit formation model really explain the forward premium anomaly? 

      Costa, Carlos Eugênio da; Vasconcelos, Jivago B. Ximenes de
      2009-05-12
      Verdelhan (2009) shows that if one is to explain the foreign exchange 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 ...