Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment

Lars Svensson

No 4544, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The paper reviews the theoretical foundations of the use of forward interest rates to infer expected future rates of interest, inflation, currency depreciation and inflation differentials. Forward rates are related to these expected future variables via combinations of term, inflation and foreign exchange risk premia. A unified derivation, discussion and comparison of these premia is provided under both general and specific assumptions, as well as some comments on empirical estimation.

JEL-codes: E43 F31 (search for similar items in EconPapers)
Date: 1993-11
Note: IFM
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Citations: View citations in EconPapers (14)

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Working Paper: Term, Inflation and Foreign Exchange Risk Premia: A Unified Treatment (1993)
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