TY  - BOOK
AU  - Frankel,Jeffrey
AU  - Chinn,Menzie
ED  - National Bureau of Economic Research.
TI  - Exchange Rate Expectations and the Risk Premium: Tests For a Cross-     Section of 17 Currencies 
T2  - NBER working paper series
PY  - 1991///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 1991; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w3806
UR  - http://dx.doi.org/10.3386/w3806
ER  -