Journal ArticleDOI
Forward and spot exchange rates
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In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.About:
This article is published in Journal of Monetary Economics.The article was published on 1984-11-01. It has received 2217 citations till now. The article focuses on the topics: Forward exchange rate & Forward premium anomaly.read more
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What explains the risk premium in foreign exchange returns
TL;DR: The authors decompose excess returns to holding foreign exchange into components associated with deviations from real interest rate parity and purchasing power parity, respectively, and find that deviations from PPP account for over 80 percent of the predictable variation in excess returns in the period 1974-1989.
Journal ArticleDOI
Asset price based estimates of sterling exchange rate risk premia
Jan Groen,Ravi Balakrishnan +1 more
TL;DR: In this article, the authors report estimates of the risk premium for the pound sterling exchange rates vis-a-vis the Australian dollar, the Canadian dollar, a synthetic Euro, the Japanese yen and the US dollar over a monthly 1987-2001 sample.
Journal ArticleDOI
The Pricing of Forward Ship Value Agreements and the Unbiasedness of Implied Forward Prices in the Second-Hand Market for Ships
TL;DR: In this paper, the authors present the methodology to price the newly introduced Forward Ship Value Agreements (FOSVAs) and investigate whether the implied forward prices have been unbiased predictors of realised prices.
Journal ArticleDOI
Term-Structure of Consumption Risk Premia in the Cross Section of Currency Returns
Irina Zviadadze,Irina Zviadadze +1 more
TL;DR: In this article, the authors quantify the risk-return relationship in the foreign-exchange market across different countries and investment horizons by focusing on the role of multiple sources of consumption risk.
Journal ArticleDOI
Distribution of Spot and Forward Exchange Rates: Empirical Evidence and Investor Valuation of Skewness and Kurtosis*
TL;DR: This paper examined the statistical distribution of exchange rates for eight major currencies for the post-1973 floating rate period and showed that spot rates, forward rates, and ex-post risk premia all exhibit significant, persistent, but varying deviations from normality.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
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An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
TL;DR: In this paper, a method of estimating the parameters of a set of regression equations is reported which involves application of Aitken's generalized least-squares to the whole system of equations.
Journal ArticleDOI
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal ArticleDOI
An intertemporal asset pricing model with stochastic consumption and investment opportunities
TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.