Random walk expectations and the forward discount puzzle

American Economic Review

Volumn 97, Issue 2, 2007, Pages 346-350

  Bacchetta, Philippe ^a,b   Van Wincoop, Eric ^c  

^a Study Center Gerzensee   (Switzerland)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

^c UNIVERSITY OF VIRGINIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547303220     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.97.2.346     Document Type: Conference Paper

References (6)

1. Bacchetta, Philippe, and Eric van Wincoop. 2006. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle." Unpublished.
2. Bazan, Carlos, Kuntara Pukthuanthong, and Lee R. Thomas. 2006. "Random Walk Currency Futures Profits Revisited." Unpublished.
3. Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski, and Sergio Rebelo. 2006. "The Returns to Currency Speculation." National Bureau of Economic Research Working Paper 12489.
4. Fama, Eugene F. 1984. "Forward and Spot Exchange Rates." Journal of Monetary Economics, 14(3): 319-38.
5. Meese, Richard A., and Kenneth Rogoff. 1983. "Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?" Journal of International Economics, 14(1-2): 3-24.
6. Villanueva, Miguel. Forthcoming. "Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?" Journal of Financial and Quantitative Analysis.