Exchange Rate Expectations and the Risk Premium: Tests For a Cross- Section of 17 Currencies / Jeffrey Frankel, Menzie Chinn.

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Frankel, Jeffrey

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w3806.Publication details: Cambridge, Mass. National Bureau of Economic Research 1991.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also find evidence, in contrast to earlier studies involving only four or five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as well.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w3806 (Browse shelf(Opens below))	Not For Loan

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Previous	nber w3803 Pricing, Patent Loss and the Market For Pharmaceuticals /	nber w3804 The Nonequivalence of High School Equivalents /	nber w3805 International Economic Transactions: Issues in Measurement and Empirical Research /	nber w3806 Exchange Rate Expectations and the Risk Premium: Tests For a Cross- Section of 17 Currencies /	nber w3807 Patterns in Exchange Rate Forecasts for 25 Currencies /	nber w3808 The Effects of Product Market Competition on Collective Bargaining Agreements: The Case of Foreign Competition in Canada /	nber w3809 Empirical Evidence on European Dual Exchange Rates and Its Relevance For Latin America /	Next

August 1991.

Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also find evidence, in contrast to earlier studies involving only four or five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as well.