Exchange Rate Expectations and the Risk Premium: Tests For A Cross Section of 17 Currencies*
作者:
Jeffrey A. Frankel,
Menzie D. Chinn,
期刊:
Review of International Economics
(WILEY Available online 1993)
卷期:
Volume 1,
issue 2
页码: 136-144
ISSN:0965-7576
年代: 1993
DOI:10.1111/j.1467-9396.1993.tb00011.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractSurvey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that, in contrast to earlier studies involving developed country exchange rates, variation in the risk premium is a quantitatively significant factor in movements of the forward discount. However, changes in expectations also have a substantial effect.
点击下载:
PDF
(529KB)
返 回