Stationary time-varying risk premia in forward foreign exchange rates

Journal of International Money and Finance

Volumn 19, Issue 2, 2000, Pages 273-288

  Shively, Philip A ^a  

^a LAFAYETTE COLLEGE   (United States)

Author keywords

Forward foreign exchange rates; Nonstationary; Pointwise most powerful invariant; Stationary; Time varying risk premia

Indexed keywords

EID: 0034165059     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(00)00005-X     Document Type: Article

References (23)

1. Adler, M., Lehmann, B., 1983. Deviations from purchasing power parity in the long run. Journal of Finance 38, 1471-1487.
2. Baillie, R., Bollerslev, T., 1994. The long memory of the forward premium. Journal of International Money and Finance 13, 565-571.
3. Baillie, R., Bollerslev, T., 1989. Common rates stochastic trend in a system of exchange. Journal of Finance 44, 167-181.
4. Bilson, J., 1981. The speculative efficiency hypothesis. Journal of Business 54, 435-451.
5. Crowder, W., 1994. Foreign exchange market efficiency and common stochastic trends. Journal of International Money and Finance 13, 551-564.
6. Dufour, J., King, M., 1991. Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors. Journal of Econometrics 47, 115-147.
7. Einzig, P., 1937. The Theory of Forward Exchange. MacMillan and Co., Limited, London.
8. Evans, M., Lewis, K., 1995. Do long-term swings in the dollar affect estimates of the risk premia? The Review of Financial Studies 8, 709-742.
9. Fama, E., 1984. Forward and spot exchange rates. Journal of Monetary Economics 14, 319-328.
10. Fama, E., Farber, A., 1979. Money, banks and foreign exchange. American Economic Review 69, 639-649.
11. Grauer, F., Litzenberger, R., Stehle, R., 1976. Sharing rules and equilibrium in an international capital market under uncertainty. Journal of Financial Economics 3, 233-256.
12. Hansen, L., Hodrick, R., 1980. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 88, 829-853.
13. Hodrick, R., Srivastava, S., 1984. An investigation of risk and return in forward foreign exchange. Journal of International Money and Finance 3, 5-29.
14. Korajczyk, R., 1985. The pricing of forward contracts for forward exchange. Journal of Political Economy 93, 346-368.
15. Levine, R., 1989. The pricing of forward exchange rates. Journal of International Money and Finance 8, 163-179.
16. Lucas, R., 1982. Interest rates and currency prices in a two-country world. Journal of Monetary Economics 10, 335-359.
17. Meese, R., Rogoff, K., 1983. The out of sample failure of empirical exchange rate models: Sampling error or misspecification? In: Frankel, J. (Ed.) Exchange Rates and International Macroeconomics. National Bureau of Economic Research, Chicago, IL, pp. 67-112.
18. Meese, R., Singleton, K., 1982. On unit roots and the empirical modeling of exchange rates. Journal of Finance 37, 1029-1035.
19. Roll, R., 1979. Violations of purchasing power parity and their implications for efficient international commodity markets. In: Sarnat, M., Szego, G. (Eds.) International Finance and Trade. Ballinger, Cambridge, MA, pp. 133-176.
20. Shively, T., 1988. An analysis of tests for regression coefficient stability. Journal of Econometrics 39, 367-386.
21. Taylor, M., 1988. A dynamic model of forward foreign exchange risk, with estimates for three major exchange rates. The Manchester School 56, 55-68.
22. Watson, M., Engle, R., 1985. Testing for regression coefficient stability with a stationary AR(1) alternative. The Review of Economics and Statistics 67, 341-346.
23. Wolff, C., 1987. Forward foreign exchange rates, expected spot rates and premia: A signal extraction approach. Journal of Finance 42, 395-406.