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Exchange risk premia in a currency basket system

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  • Lars Hörngren
  • Anders Vredin

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File URL: http://hdl.handle.net/10.1007/BF02707562
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Bibliographic Info

Article provided by Springer in its journal Weltwirtschaftliches Archiv.

Volume (Year): 125 (1989)
Issue (Month): 2 (June)
Pages: 311-325

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Handle: RePEc:spr:weltar:v:125:y:1989:i:2:p:311-325

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References

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  1. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
  2. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March.
  3. Mark Taylor, 1987. "Risk premia and foreign exchange: A multiple time series approach to testing uncovered interest-rate parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 123(4), pages 579-591, December.
  4. Engel, Charles M., 1984. "Testing for the absence of expected real profits from forward market speculation," Journal of International Economics, Elsevier, vol. 17(3-4), pages 299-308, November.
  5. Mark, Nelson C., 1985. "On time varying risk premia in the foreign exchange market: An econometric analysis," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 3-18, July.
  6. Hali J. Edison & Erling Vardal, 1985. "Optimal currency basket in a world of generalized floating : an application to the nordic countries," International Finance Discussion Papers 266, Board of Governors of the Federal Reserve System (U.S.).
  7. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
  8. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters, in: Exchange Rate Theory and Practice, pages 121-152 National Bureau of Economic Research, Inc.
  9. Margarita, Anna, 1987. "Risk premia and the foreign exchange market : The European Monetary System versus the 'rest of the world'," Economics Letters, Elsevier, vol. 23(1), pages 95-98.
  10. 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.
  11. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, vol. 22(3-4), pages 297-319, May.
  12. Frankel, Jeffrey A., 1982. "In search of the exchange risk premium: A six-currency test assuming mean-variance optimization," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 255-274, January.
  13. Frenkel, Jacob A. & Razin, Assaf, 1980. "Stochastic prices and tests of efficiency of foreign exchange markets," Economics Letters, Elsevier, vol. 6(2), pages 165-170.
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Cited by:
  1. Svensson, Lars E O, 1990. "Target Zones and Interest Rate Variability," CEPR Discussion Papers 372, C.E.P.R. Discussion Papers.
  2. Marianne Nessen, 1997. "Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones," Open Economies Review, Springer, vol. 8(2), pages 99-136, April.
  3. Lars E.O. Svensson, 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," NBER Working Papers 3466, National Bureau of Economic Research, Inc.
  4. Moosa, Imad A., 2011. "Exchange Rate Regime Shift in Reaction to a Changing Environment: A Case Study of Kuwait - Modifiche del regime dei tassi di cambio a seguito di modifiche nelle condizioni del sistema: il caso del Kuw," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 64(2), pages 237-255.
  5. Moosa, Imad A., 2011. "Exchange Rate Regime Shift in Reaction to a Changing Environment: A Case Study of Kuwait - Modifiche del regime dei tassi di cambio a seguito di modifiche nelle condizioni del sistema: il caso del Kuw," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 64(2), pages 237-255.
  6. Imad Moosa, 2011. "The profitability of interest arbitrage when the base currency is pegged to a basket," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 267-281, October.

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