Unconventional preferences: Do they explain foreign exchange risk premia?

Journal of International Money and Finance

Volumn 15, Issue 1, 1996, Pages 149-165

  Sibert, Anne ^a,b  

^a VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

^b UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030079302     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(95)00045-3     Document Type: Article

References (35)

1. BACKUS, DAVID K., ALLAN W. GREGORY AND CHRIS I. TELMER, 'Accounting for forward rates in markets for foreign currency', Journal of Finance, December 1993, 48:1887-1908.
2. BAKER, CHRISTOPHER T. H., The numerical treatment of integral equations, Oxford: Clarendon Press, 1978.
3. BENNINGA, SIMON AND ARIS PROTOPAPADAKIS, 'Leverage, time preference, and the "equity premium" puzzle', Journal of Monetary Economics, January 1990, 25: 49-58.
4. BENTAL, BENJAMIN, 'Capital controls in a two-sector model of growth and trade', Ph.D. dissertation, University of Minnesota, 1979.
5. BILSON, JOHN, 'The "speculative efficiency" hypothesis', Journal of Business, July 1981, 54: 435-452.
6. CANOVA, FABIO AND JANE MARRINAN, 'Nominal profits, risk and uncertainty in foreign exchange markets', unpublished paper, July 1990.
7. CONSTANTINIDES, GEORGE M., 'Habit formation: A resolution of the equity premium puzzle', Journal of Political Economy, June 1990, 98: 519-543.
8. DIEUDONNE, J., Foundations of Modern Analysis, New York: Academic Press, 1960.
9. DUTTON, JOHN, 'Real and monetary shocks and risk premia in forward markets for foreign exchange', Journal of Money, Credit and Banking, November 1993, 25: 731-754.
10. EICHENBAUM, MARTIN S., LARS P. HANSEN AND KENNETH J. SINGLETON, 'A time series analysis of representative agent models of consumption and leisure choices under uncertainty', Quarterly Journal of Economics, February 1988, 103: 51-78.
11. ENGEL, CHARLES, 'On the foreign exchange risk premium in a general equilibrium model', Federal Reserve Bank of Kansas City working paper no. 90-06, December 1990.
12. EPSTEIN, LARRY G. AND STANLEY ZIN, 'Substitution, risk aversion and temporal behavior of consumption and asset returns: An empirical analysis', Journal of Political Economy, April 1991, 96: 263-286.
13. FERSON, WAYNE E. AND GEORGE M. CONSTANTINIDES, 'Habit persistence and durability in aggregate consumption: Empirical tests', NBER Working Paper No. 3631, February 1991.
14. GROSSMAN, SANFORD AND ROBERT SHILLER, 'The determinants of the variability of stock market prices', American Economic Review, May 1981, 71: 222-227.
15. HAKKIO, CRAIG AND ANNE SIBERT, 'The foreign exchange risk premium: Is it real?' Journal of Money, Credit and Banking, May 1995, 27: 301-317.
16. HANSEN, LARS P. AND RAVI JAGANNATHAN, 'Implications of security market data for models of dynamic economies', Journal of Political Economy, April 1991, 99: 225-262.
17. HANSEN, LARS AND KENNETH SINGLETON, 'Stochastic consumption, risk aversion, and the temporal behavior of asset returns', Journal of Political Economy, April 1983, 91: 249-265.
18. HODRICK, ROBERT, The Empirical Evidence on the Efficiency of Forward and Future Forward Exchange Markets, Chur: Harwood Press, 1987.
19. HODRICK, ROBERT J. AND EDWARD C. PRESCOTT, 'Postwar business cycles: An empirical investigation', Carnegie-Mellon University, November 1980.
20. HUBERMAN, GUR, 'Capital asset prices in an overlapping generations model', Journal of Economic Theory, August 1984, 33: 232-248.
21. HUTSON, V. AND J. S. PYM, Applications of Functional Analysis and Operator Theory, New York: Academic Press, 1980.
22. KANDEL, SHMUEL AND ROBERT F. STAMBAUGH, 'Expectations and volatility of consumption and asset returns', Review of Financial Studies, 1990, 3: 207-232.
23. KANDEL, SHMUEL AND ROBERT F. STAMBAUGH, 'Asset returns and intertemporal preferences', NBER Working Paper No. 3633, February 1991.
24. KREPS, DAVID M. AND EVAN L. PORTEUS, 'Temporal resolution of uncertainty and dynamic choice theory', Econometrica, January 1978, 46: 185-200.
25. LUCAS, ROBERT E., 'Interest rates and currency prices in a two-country world', Journal of Monetary Economics, November 1982, 10: 335-360.
26. MACKLEM, R. TIFF, 'Forward exchange rates and risk premiums in artificial economies', Journal of International Money and Finance, September 1991, 10: 365-391.
27. MEHRA, RAJNISH AND EDWARD C. PRESCOTT, 'The equity premium: A puzzle', Journal of Monetary Economics, March 1985, 15: 145-161.
28. PELED, DAN, 'Government indexed bonds - do they improve matters', Ph.D. dissertation, University of Minnesota, 1980.
29. SELDEN, LARRY, 'A new representation of preferences over "certain × uncertain" pairs: The "ordinal certainty equivalence" hypothesis', Econometrica, September 1978, 46: 1025-1045.
30. SIBERT, ANNE, 'The risk premium in the foreign exchange market', Journal of Money, Credit and Banking, February 1989, 21: 49-65.
31. SUNDARESAN, SURESH M., 'Intertemporally dependent preferences and the volatility of consumption and wealth', Review of Financial Studies, 1989, 2: 73-89.
32. SVENSSON, LARS E. O., 'Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach', Journal of International Economics, October 1985, 93: 919-944.
33. SWEENEY, RICHARD J., 'Beating the foreign exchange market', Journal of Finance, March 1986, 41: 163-182.
34. TAUCHEN, GEORGE AND ROBERT HUSSEY, 'Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models', Econometrica, March 1991, 59: 371-396.
35. WEIL, PHILIPPE, 'The equity premium puzzle and the risk-free rate puzzle', Journal of Monetary Economics, November 1989, 24: 401-422