Forward and Spot Exchange Rates” by Fama (1984)Revisited
The main objective of this paper is to review and to replicate the paper 'Forward and Spot Exchange Rates' by Fama (1984). I used non-overlapping monthly data for three major currencies, and divided the sample into two, the 'replication' and the 'extension' periods. The results of this replication paper once more confirmed the conclusions of Fama (1984). After reviewing some post-Fama (1984) empirical studies in this topic, two main conclusions are drawn: (1) there is a general agreement that both components of forward rates vary through time; and (2) there is less agreement that the variance of the premium component is large relative to the variance of the expected depreciation of the spot rate.
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.:
- Froot, Kenneth A. & Frankel, Jeffrey A., 1988.
"Forward Discount Bias: Is It an Exchange Risk Premium?,"
Department of Economics, Working Paper Series
qt5w65g4zg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Kenneth A. Froot & Jeffrey A. Frankel, 1989. "Forward Discount Bias: Is it an Exchange Risk Premium?," The Quarterly Journal of Economics, Oxford University Press, vol. 104(1), pages 139-161.
- Kenneth A. Froot and Jeffrey A. Frankel., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Economics Working Papers 8874, University of California at Berkeley.
- Robert J. Hodrick & Sanjay Srivastava, 1985.
"The Covariation of Risk Premiums and Expected Future Spot Exchange Rates,"
NBER Working Papers
1749, National Bureau of Economic Research, Inc.
- Hodrick, Robert J. & Srivastava, Sanjay, 1986. "The covariation of risk premiums and expected future spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages S5-S21, March.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpif:0508012. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.