The Pricing of Forward Contracts for Foreign Exchange
Bibliographic Data
| ID | 10171702 |
|---|---|
| Authors | Robert A Korajczyk (0000-0003-2436-2324, Northwestern University, corresponding author) |
| Year | 1985 |
| Volume | 93 |
| Issue | 2 |
| Pages | 346-368 |
| Publication date | 1985-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/261303 |
| OpenAlex | W2086740563 |
| Language | EN |
| Citations received | 2 |
This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition imposes testable restrictions on the parameters of a mutivariate regression model. The empirical results are consistent with a world in which time varying risk premia cause the observed deviations from unbiased expectations
Bond · Econometrics · Economics · Exchange rate · Financial economics · Foreign exchange · Foreign exchange market · Monetary economics · Risk premium · Diverse Scientific and Economic Studies · Economic Policies and Impacts · Finance · Global Financial Crisis and Policies
| Unique citing works | 2 |
|---|---|
| Citations per year | 0.05 |
| Citation span | 1985 - 1995 (11) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |