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Risk aversion, efficient markets and the forward exchange rate

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

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References listed on IDEAS
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.:
  1. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-82, March. [Downloadable!] (restricted)
  2. 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, vol. 36(3), pages 697-703, June. [Downloadable!] (restricted)
  3. Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 135-152, June. [Downloadable!] (restricted)
  4. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February. [Downloadable!] (restricted)
  5. Robert J. Hodrick & Sanjay Srivastava, 1986. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. 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, vol. 88(5), pages 829-53, October. [Downloadable!] (restricted)
  7. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 358-70, April. [Downloadable!] (restricted)
  8. 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, issue Jun, pages 5-15. [Downloadable!]
  9. Jeffrey A. Frankel and Richard Meese., 1987. "Are Exchange Rates Excessively Variable," Economics Working Papers 8738, University of California at Berkeley.
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Cited by:
(explanations, 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.)

  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. [Downloadable!] (restricted)
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