Term Effects and the Time-Varying Risk Premium in Tests of Forward Foreign Exchange Rate Unbiasedness
The term (or number of days) until a 1-month forward contract is delivered may play a systematic role in the empirical estimates of the coefficient on the forward premium in tests of forward foreign exchange rate unbiasedness. These term effects arise because a 1-month forward contract is not equal to a pre-specified number of days and, thus, the risk of valuation changes over the life of the contract depend on the contract's exact term. The term effect is consistent with a time-varying risk premium. However, empirical results provide no evidence of a term effect and so other explanations must be considered. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 5 (2000)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|