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The risk premium on the Australian dollar in the 30-day forward market

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  • Bruce Felmingham

Abstract

A GARCH (1,1)-M model of the 30-day forward rate error reveals the following: a constant, but not time varying risk premium; evidence of market inefficiencies; a well determined GARCH (1,1) effect, but no I-GARCH process. The daily time series extended from 2 January 1985 to 13 May 1994.

Suggested Citation

  • Bruce Felmingham, 1996. "The risk premium on the Australian dollar in the 30-day forward market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(4), pages 233-235.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:4:p:233-235
    DOI: 10.1080/758520870
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    Cited by:

    1. Douglas, Justin J. & Bartley, Scott W., 1997. "Risk premia in Australian interest rates," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(2), pages 1-35.

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