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Risk aversion, efficient markets and the forward exchange rate

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  • Kees G. Koedijk
  • Mack Ott
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    File URL: http://research.stlouisfed.org/publications/review/87/12/Risk_Dec1987.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of St. Louis in its journal Review.

    Volume (Year): (1987)
    Issue (Month): Dec ()
    Pages: 5-13

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    Handle: RePEc:fip:fedlrv:y:1987:i:dec:p:5-13

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    Related research

    Keywords: Foreign exchange futures ; Foreign exchange rates ; Interest rates;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Cumby, Robert E & Obstfeld, Maurice, 1981. "A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis," Journal of Finance, American Finance Association, American Finance Association, vol. 36(3), pages 697-703, June.
    2. Mack Ott & Paul T.W.M. Veugelers, 1986. "Forward exchange rates in efficient markets: the effects of news and changes in monetary policy regimes," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Jun, pages 5-15.
    3. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(5), pages 829-53, October.
    4. Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, Elsevier, vol. 5(2), pages 135-152, June.
    5. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 358-70, April.
    6. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, American Finance Association, vol. 41(1), pages 163-82, March.
    7. Jeffrey A. Frankel and Richard Meese., 1987. "Are Exchange Rates Excessively Variable," Economics Working Papers, University of California at Berkeley 8738, University of California at Berkeley.
    8. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
    9. Hodrick, Robert J. & Srivastava, Sanjay, 1986. "The covariation of risk premiums and expected future spot exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 5(1, Supple), pages S5-S21, March.
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    Cited by:
    1. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc.

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