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

Lars E.O. Svensson

20 citations0/0 files storedNational Bureau of Economic Research

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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.

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1990Asset Prices under Habit Formation and Catching up with the Joneses 1983International Portfolio Choice and Corporation Finance: A Synthesis 1989Time-varying conditional covariances in tests of asset pricing models 1981A model of international asset pricing 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates 1992Asset Pricing Explorations for Macroeconomics 1992The foreign exchange risk premium in a target zone with devaluation risk 1992Asset Pricing Explorations for Macroeconomics

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