The Pricing of Forward Contracts for Foreign Exchange
The Pricing of Forward Contracts for Foreign Exchange
复制标题
外汇远期合约的定价
DOI：
10.1086/261303
复制
发表时间：
1984
影响因子：
8.2
通讯作者：
Robert A. Korajczyk
中科院分区：
文献类型：
--
作者：
Robert A. Korajczyk
本文研究了在远期外汇市场中，观察到的偏离无偏预期假设的性质。如果这些偏离是由于风险溢价，那么在以不同货币计价的名义债券中应该观察到相同的溢价。该条件对多元回归模型的参数施加了可检验的限制。实证结果是一致的世界中，随时间变化的风险溢价导致观察到的偏差，从无偏的期望。
This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition imposes testable restrictions on the parameters of a mutivariate regression model. The empirical results are consistent with a world in which time varying risk premia cause the observed deviations from unbiased expectations.