Citation

Discussion Paper Details

Please find the details for DP53 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Exchange Rates, Risk Premia and New Information: A Note

Author(s): Charles R Bean

Publication Date: February 1985

Keyword(s): Efficient Markets, Exchange Rates and Risk Premia

Programme Area(s): International Macroeconomics

Abstract: This note re-examines the results of tests of the hypothesis that the forward exchange rate is an unbiased and efficient predictor of the future spot exchange rate. As an alternative hypothesis we posit the existence of a time-varying risk premium. We show that it is possible to place a lower-bound on the variance of this term. The results suggest that for three out of the four bilateral rates examined new information explains less than half the variance of the difference between the forward rate and the realised future spot rate.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=53

Bibliographic Reference

Bean, C. 1985. 'Exchange Rates, Risk Premia and New Information: A Note'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=53