Biais du taux de change à terme: une approche multifactorielle

Philippe Cornu and Henri Loubergé

Swiss Journal of Economics and Statistics (SJES), 1996, vol. 132, issue II, 127-151

Abstract: This article combines a portfolio model and the APT to determine common factors explaining the bias observed ex post between the forward exchange rate and the future spot rate of the same currency. The model allows us to decompose the forward exchange bias into four risk premiums connected to the following factors: country risk, exchange risk, the return differential on Treasury bills, and the return differential on eurocurrency deposits. An econometric test performed for eight currencies over the period 1981-1992 leads to reject the null hypothesis of independence between the forward exchange bias and the risk premiums. However, the influence of the risk premiums seems to vary over time, depending on whether the value of the dollar rises or declines on the foreign exchange market.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:1996-ii-1

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