Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange
Title | Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange PDF eBook |
Author | Richard Meese |
Publisher | |
Pages | 27 |
Release | 1980 |
Genre | Econometrics |
ISBN |
Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market
Title | Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market PDF eBook |
Author | Alberto Giovannini |
Publisher | |
Pages | 40 |
Release | 1986 |
Genre | Capital assets pricing model |
ISBN |
Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats
Title | Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats PDF eBook |
Author | David A. Hsieh |
Publisher | |
Pages | 0 |
Release | 1982 |
Genre | |
ISBN |
This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that inferences using this procedure are very different from those using the standard assumption of homoscedasticity.
Rational Expectations and Efficiency in Futures Markets
Title | Rational Expectations and Efficiency in Futures Markets PDF eBook |
Author | Barry Goss |
Publisher | Routledge |
Pages | 240 |
Release | 2005-10-09 |
Genre | Business & Economics |
ISBN | 1134975201 |
Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
Expectations and the Foreign Exchange Market
Title | Expectations and the Foreign Exchange Market PDF eBook |
Author | Craig Hakkio |
Publisher | Routledge |
Pages | 100 |
Release | 2017-04-21 |
Genre | Business & Economics |
ISBN | 1351801686 |
Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets
Title | Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets PDF eBook |
Author | David A. Hsieh |
Publisher | |
Pages | 20 |
Release | 2006 |
Genre | |
ISBN |
More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
Title | More Evidence on the Dollar Risk Premium in the Foreign Exchange Market PDF eBook |
Author | Dennis Bams |
Publisher | |
Pages | 42 |
Release | 2003 |
Genre | Dollar, American |
ISBN |