A joint test of risk premia in exchange rates and rational expectations
This note presents a simple joint test of existence of a risk premium in exchange rates and the rationality of expectations. It is shown that major currency prices studied in this note are subject to a risk premium.
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| Veröffentlicht in: | Economics letters 1985, Vol.18 (1), p.71-74 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | This note presents a simple joint test of existence of a risk premium in exchange rates and the rationality of expectations. It is shown that major currency prices studied in this note are subject to a risk premium. |
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| ISSN: | 0165-1765 1873-7374 |
| DOI: | 10.1016/0165-1765(85)90082-5 |