Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats

David A. Hsieh

No 843, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that inferences using this procedure are very different from those using the standard assumption of homoscedasticity.

Date: 1982-01
Note: ITI IFM
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Citations: View citations in EconPapers (11)

Published as Hournal of Interlational Economics, Vol. 12, no.1/2 (1984): 173-184.

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