Accounting for Forward Rates in Markets for Foreign Currency
Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot acc...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 1993-12, Vol.48 (5), p.1887-1908 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1908 |
|---|---|
| container_issue | 5 |
| container_start_page | 1887 |
| container_title | The Journal of finance (New York) |
| container_volume | 48 |
| creator | BACKUS, DAVID K. GREGORY, ALLAN W. TELMER, CHRIS I. |
| description | Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. We show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence, but that the theory fails to reproduce some of the other properties of the data--in particular, the strong autocorrelation of forward premiums. |
| doi_str_mv | 10.1111/j.1540-6261.1993.tb05132.x |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_38478670</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>2329071</jstor_id><sourcerecordid>2329071</sourcerecordid><originalsourceid>FETCH-LOGICAL-c5722-5b2a95f36d214a53e85d65189944d19318402646ff9761105547cbdfcdc09f003</originalsourceid><addsrcrecordid>eNqVkU9r3DAQxUVoods038GkITe7Gv21Qg8JS3ebsklISAn0MnhlOdjd2Klkk91vXxmnoRR6yBwkwfzem-GJkEOgGcT61GQgBU0VU5CBMTzr11QCZ9l2j8xeWm_IjFLGUqA5e0feh9DQsaSckc9n1nZD29ftfVJ1Pll0_qnwZXJT9C4kdZtcFP6n68Ofpqvv22Q-eO9au_tA3lbFJriD53uffF98uZ1_TVdXy_P52Sq1Usexcs0KIyuuSgaikNzlslQScmOEKMFwyAVlSqiqMloBxL2EtuuysqWlpqKU75PjyffRd78GF3p8qIN1m03Rum4IyHOhc6VH8PAfsOkG38bdEIzQNI40Efr4X4gZDYyLfLQ6mSjruxC8q_DR1w-F3yFQHLPHBseAcQwYx-zxOXvcRvHpJH6qN273CiV-u1qcj89ocTRZNKHv_N8WjFMdD2aohoilE1aH3m1fsPhpqDTXEu8ulyiulz_0anWBc_4bitijGg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1297123480</pqid></control><display><type>article</type><title>Accounting for Forward Rates in Markets for Foreign Currency</title><source>Periodicals Index Online</source><source>JSTOR Complete Journals</source><creator>BACKUS, DAVID K. ; GREGORY, ALLAN W. ; TELMER, CHRIS I.</creator><creatorcontrib>BACKUS, DAVID K. ; GREGORY, ALLAN W. ; TELMER, CHRIS I.</creatorcontrib><description>Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. We show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence, but that the theory fails to reproduce some of the other properties of the data--in particular, the strong autocorrelation of forward premiums.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/j.1540-6261.1993.tb05132.x</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>Accounting ; Autocorrelation ; Currency ; Currency market ; Economic theory ; Equilibrium prices ; Exchange market ; Expected returns ; Financial economics ; Foreign exchange ; Foreign exchange rates ; International finance ; Market ; Markov chains ; Risk aversion ; Risk premiums ; Shorter Papers ; Simulation ; Speculation ; Standard deviation</subject><ispartof>The Journal of finance (New York), 1993-12, Vol.48 (5), p.1887-1908</ispartof><rights>Copyright 1993 American Finance Association</rights><rights>1993 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Dec 1993</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5722-5b2a95f36d214a53e85d65189944d19318402646ff9761105547cbdfcdc09f003</citedby><cites>FETCH-LOGICAL-c5722-5b2a95f36d214a53e85d65189944d19318402646ff9761105547cbdfcdc09f003</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2329071$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2329071$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,27869,27924,27925,58017,58250</link.rule.ids></links><search><creatorcontrib>BACKUS, DAVID K.</creatorcontrib><creatorcontrib>GREGORY, ALLAN W.</creatorcontrib><creatorcontrib>TELMER, CHRIS I.</creatorcontrib><title>Accounting for Forward Rates in Markets for Foreign Currency</title><title>The Journal of finance (New York)</title><description>Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. We show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence, but that the theory fails to reproduce some of the other properties of the data--in particular, the strong autocorrelation of forward premiums.</description><subject>Accounting</subject><subject>Autocorrelation</subject><subject>Currency</subject><subject>Currency market</subject><subject>Economic theory</subject><subject>Equilibrium prices</subject><subject>Exchange market</subject><subject>Expected returns</subject><subject>Financial economics</subject><subject>Foreign exchange</subject><subject>Foreign exchange rates</subject><subject>International finance</subject><subject>Market</subject><subject>Markov chains</subject><subject>Risk aversion</subject><subject>Risk premiums</subject><subject>Shorter Papers</subject><subject>Simulation</subject><subject>Speculation</subject><subject>Standard deviation</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1993</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNqVkU9r3DAQxUVoods038GkITe7Gv21Qg8JS3ebsklISAn0MnhlOdjd2Klkk91vXxmnoRR6yBwkwfzem-GJkEOgGcT61GQgBU0VU5CBMTzr11QCZ9l2j8xeWm_IjFLGUqA5e0feh9DQsaSckc9n1nZD29ftfVJ1Pll0_qnwZXJT9C4kdZtcFP6n68Ofpqvv22Q-eO9au_tA3lbFJriD53uffF98uZ1_TVdXy_P52Sq1Usexcs0KIyuuSgaikNzlslQScmOEKMFwyAVlSqiqMloBxL2EtuuysqWlpqKU75PjyffRd78GF3p8qIN1m03Rum4IyHOhc6VH8PAfsOkG38bdEIzQNI40Efr4X4gZDYyLfLQ6mSjruxC8q_DR1w-F3yFQHLPHBseAcQwYx-zxOXvcRvHpJH6qN273CiV-u1qcj89ocTRZNKHv_N8WjFMdD2aohoilE1aH3m1fsPhpqDTXEu8ulyiulz_0anWBc_4bitijGg</recordid><startdate>199312</startdate><enddate>199312</enddate><creator>BACKUS, DAVID K.</creator><creator>GREGORY, ALLAN W.</creator><creator>TELMER, CHRIS I.</creator><general>Blackwell Publishing Ltd</general><general>American Finance Association</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>FIXVA</scope><scope>FUVTR</scope><scope>JILTI</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>199312</creationdate><title>Accounting for Forward Rates in Markets for Foreign Currency</title><author>BACKUS, DAVID K. ; GREGORY, ALLAN W. ; TELMER, CHRIS I.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5722-5b2a95f36d214a53e85d65189944d19318402646ff9761105547cbdfcdc09f003</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1993</creationdate><topic>Accounting</topic><topic>Autocorrelation</topic><topic>Currency</topic><topic>Currency market</topic><topic>Economic theory</topic><topic>Equilibrium prices</topic><topic>Exchange market</topic><topic>Expected returns</topic><topic>Financial economics</topic><topic>Foreign exchange</topic><topic>Foreign exchange rates</topic><topic>International finance</topic><topic>Market</topic><topic>Markov chains</topic><topic>Risk aversion</topic><topic>Risk premiums</topic><topic>Shorter Papers</topic><topic>Simulation</topic><topic>Speculation</topic><topic>Standard deviation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>BACKUS, DAVID K.</creatorcontrib><creatorcontrib>GREGORY, ALLAN W.</creatorcontrib><creatorcontrib>TELMER, CHRIS I.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 03</collection><collection>Periodicals Index Online Segment 06</collection><collection>Periodicals Index Online Segment 32</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>BACKUS, DAVID K.</au><au>GREGORY, ALLAN W.</au><au>TELMER, CHRIS I.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Accounting for Forward Rates in Markets for Foreign Currency</atitle><jtitle>The Journal of finance (New York)</jtitle><date>1993-12</date><risdate>1993</risdate><volume>48</volume><issue>5</issue><spage>1887</spage><epage>1908</epage><pages>1887-1908</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>Forward and spot exchange rates between major currencies imply large standard deviations of both predictable returns from currency speculation and of the equilibrium price measure (the intertemporal marginal rate of substitution). Representative agent theory with time-additive preferences cannot account for either of these properties. We show that the theory does considerably better along these dimensions when the representative agent's preferences exhibit habit persistence, but that the theory fails to reproduce some of the other properties of the data--in particular, the strong autocorrelation of forward premiums.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1993.tb05132.x</doi><tpages>22</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1993-12, Vol.48 (5), p.1887-1908 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38478670 |
| source | Periodicals Index Online; JSTOR Complete Journals |
| subjects | Accounting Autocorrelation Currency Currency market Economic theory Equilibrium prices Exchange market Expected returns Financial economics Foreign exchange Foreign exchange rates International finance Market Markov chains Risk aversion Risk premiums Shorter Papers Simulation Speculation Standard deviation |
| title | Accounting for Forward Rates in Markets for Foreign Currency |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-03T14%3A20%3A21IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Accounting%20for%20Forward%20Rates%20in%20Markets%20for%20Foreign%20Currency&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=BACKUS,%20DAVID%20K.&rft.date=1993-12&rft.volume=48&rft.issue=5&rft.spage=1887&rft.epage=1908&rft.pages=1887-1908&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/j.1540-6261.1993.tb05132.x&rft_dat=%3Cjstor_proqu%3E2329071%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1297123480&rft_id=info:pmid/&rft_jstor_id=2329071&rfr_iscdi=true |