Advanced Search
MyIDEAS: Login to save this article or follow this journal

A DYMIMIC Model of Forward Foreign Exchange Risk, with Estimates for Three Major Exchange Rates

Contents:

Author Info

  • Taylor, Mark P

Abstract

One explanation which has been proposed for the failure of the forward exchange rate to act as an unbiased predictor of the future spot rate is the exist ence of a time-varying risk premium. This paper models the risk premi um as a latent variable depending upon domestic and foreign asset yie ld volatility, using an unobservable components framework. Estimates of the model for dollar-sterling, dollar-Swiss franc and dollar-Japan ese yen, obtained by maximum likelihood Kalman filtering techniques, are encouraging. Copyright 1988 by Blackwell Publishers Ltd and The Victoria University of Manchester

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 56 (1988)
Issue (Month): 1 (March)
Pages: 55-68

as in new window
Handle: RePEc:bla:manch2:v:56:y:1988:i:1:p:55-68

Contact details of provider:
Postal: Manchester M13 9PL
Phone: (0)161 275 4868
Fax: (0)161 275 4812
Web page: http://www.socialsciences.manchester.ac.uk/disciplines/economics/
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
  2. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  3. Canale, Rosaria Rita, 2002. "Equilibrium exchange rate theories under flexible exchange rate regimes," MPRA Paper 3086, University Library of Munich, Germany.
  4. Guneratne Banda Wickremasinghe, 2004. "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance 0406004, EconWPA.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:manch2:v:56:y:1988:i:1:p:55-68. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.