Journal ArticleDOI
Forward and spot exchange rates
Reads0
Chats0
TLDR
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
Citations
More filters
Journal ArticleDOI
Model uncertainty and the Forward Premium Puzzle
TL;DR: In this article, the Forward Premium Puzzle was studied in a setting where investors doubt the specification of their models, and thus engage in robust portfolio strategies, and it was shown that an empirically plausible concern for model misspecification can explain the forward premium puzzle.
Journal ArticleDOI
Dynamic allocations for currency futures under switching regimes signals
Lorenzo Reus,John M. Mulvey +1 more
TL;DR: This work presents a methodology that enhances CT performance significantly and constructed backtests show that the mean-semivolatility ratio can be more than doubled with respect to benchmark CT.
Journal ArticleDOI
Interest differentials and extreme support for uncovered interest rate parity
TL;DR: In this article, the authors address two findings from the empirical literature testing uncovered interest parity (UIP): (i) more favorable results when interest differentials (IDs) are large and (ii) instability across samples.
Journal ArticleDOI
The PPP View of Multihorizon Currency Risk Premiums
Mikhail Chernov,Drew Creal +1 more
TL;DR: In this article, the weak form of PPP is incorporated into a joint model of the stochastic discount factor, the nominal exchange rate, and domestic and foreign yield curves.
Journal ArticleDOI
Are Exchange Rates Excessively Volatile? and What Does "Excessively Volatile" Mean, Anyway?
TL;DR: In this paper, the authors apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia.
References
More filters
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.
Journal ArticleDOI
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.