Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

Martin Evans and Karen Lewis

Chapter 3 in Studies in Foreign Exchange Economics, 2017, pp 59-99 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Studies relating the predictable component in excess foreign exchange returns to standard models of the risk premium have proven largely unsuccessful. For example, the results in Fama (1984) suggested that the variability of the risk premium is large and exceeds the variability of the expected change in the exchange rate. Although empirical findings concerning risk premium behavior such as in this case can be reconciled theoretically with foreign exchange models empirical attempts to do so have not succeeded on the whole…

Keywords: Exchange Rates; Foreign Currency; Microstructure (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2017
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Related works:
Journal Article: Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? (1995)
Working Paper: Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? (1993)
Working Paper: Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? (1993)
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