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Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

In: Studies in Foreign Exchange Economics

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  • Martin D. D. Evans
  • Karen K. Lewis

Abstract

Studies relating the predictable component in excess foreign exchange returns to standard models of the risk premium have proven largely unsuccessful. For example, the results in Fama (1984) suggested that the variability of the risk premium is large and exceeds the variability of the expected change in the exchange rate. Although empirical findings concerning risk premium behavior such as in this case can be reconciled theoretically with foreign exchange models empirical attempts to do so have not succeeded on the whole…

Suggested Citation

  • Martin D. D. Evans & Karen K. Lewis, 2017. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 3, pages 59-99, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813148543_0003
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    Keywords

    Exchange Rates; Foreign Currency; Microstructure;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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