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• W2017737340 abstract "There is now a substantial body of evidence that the forward rate is a biased predictor of the future spot exchange rate. This need not imply inefficiency in the market for foreign exchange since time-varying risk premia can be invoked to explain the properties of the data. But theoretical and econometrically estimated models of risk do not seem to generate sufficiently variable premia to account for the bias. We argue that this may be due to a failure to model exchange rate risk in a plausible way. A simple model is presented which is capable of generating volatile risk premia which change sign, time-series properties which are necessary to account for bias in exchange rate data. Empirical tests are undertaken to see if the model can account for variability in spot/forward differentials" @default.
• W2017737340 created "2016-06-24" @default.
• W2017737340 creator A5068248246 @default.
• W2017737340 date "1993-09-01" @default.
• W2017737340 modified "2023-09-25" @default.
• W2017737340 title "Time-varying risk premia and bias in the foreign exchange market" @default.
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• W2017737340 doi "https://doi.org/10.1080/758535727" @default.
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