FORWARD FOREIGN-EXCHANGE RATES AND RISK PREMIA - A REAPPRAISAL

被引：4

作者：

POPE, PF ^{[1
]}

PEEL, DA ^{[1
]}

机构：

[1] UNIV COLL WALES,ABERYSTWYTH SY23 3DB,DYFED,WALES

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1991年 / 10卷 / 03期

关键词：

D O I：

10.1016/0261-5606(91)90021-B

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Analysis of the relationship between the forward exchange rate and actual exchange rate realizations has been interpreted by many researchers as evidence of the existence of time-varying risk premia. We interpret the negative covariation between the forward premium and the depreciation in the spot exchange rate as being consistent with an optimal (least squares) forecast of the future exchange rate based on two highly correlated forecasts, the spot rate and the forward rate. Our results show that when the contemporaneous spot exchange rate is replaced by alternative filters the efficiency of the forward rate is not rejected. Although the empirical tests do not constitute unequivocal rejection of the hypothesis of time-varying risk premia, they do demonstrate that an alternative and economically plausible reason exists for previous results. © 1991.

引用

页码：443 / 456

页数：14

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