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- W3124393055 abstract "The paper reconsiders the unbiasedness hypothesis in the foreign exchange market. Within the context of a conventional model of exchange rates, risk premium shocks are constrained to have no permanent effects on the spot rate. Using monthly data from the post floating period, the paper estimates risk premia for the Dollar rates of the Yen, Mark, and Pound. Risk premium innovations seem to explain a modest proportion of short term variability of exchange rate changes and excess returns. However, risk premia may explain serial correlations in excess returns." @default.
- W3124393055 created "2021-02-01" @default.
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- W3124393055 date "1998-05-20" @default.
- W3124393055 modified "2023-10-17" @default.
- W3124393055 title "Forward Speculation, Excess Returns, and Exchange Rate Variability: The Role of Risk Premia" @default.
- W3124393055 hasPublicationYear "1998" @default.
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