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Modelling Risk in the Interwar Foreign Exchange Market

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  • Fraser, Patricia
  • Taylor, Mark P

Abstract

There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for the reichsmark, but the results are not otherwise supportive of either model. Copyright 1990 by Scottish Economic Society.

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Bibliographic Info

Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

Volume (Year): 37 (1990)
Issue (Month): 3 (August)
Pages: 241-58

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Handle: RePEc:bla:scotjp:v:37:y:1990:i:3:p:241-58

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Cited by:
  1. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  2. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.

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