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The covariation of risk premiums and expected future spot exchange rates · Study

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ArticleThe covariation of risk premiums and expected future spot exchange rates

Robert J. Hodrick1986

OA

Articlegreen1986

The covariation of risk premiums and expected future spot exchange rates

Robert J. Hodrick · Sanjay Srivastava

194 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1984Forward and spot exchange rates 1983Optimal fiscal and monetary policy in an economy without capital 1982Interest rates and currency prices in a two-country world 1964The Role of Securities in the Optimal Allocation of Risk-bearing 1985Conditional variance and the risk premium in the foreign exchange market 1981The "Speculative Efficiency" Hypothesis 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

Cited by

1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets 2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets 1995Chapter 37 Puzzles in international financial markets 1995Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?1987Interest rates and risk premia in the stock market and in the foreign exchange market

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1985The Covariation of Risk Premiums and Expected Future Spot Exchange Ratesreport · 8 shared references 1989Empirical Assessment of Foreign Currency Risk Premiumschapter · 7 shared references 1995Chapter 37 Puzzles in international financial marketschapter · 6 shared references 1987Interest rates and risk premia in the stock market and in the foreign exchange marketarticle · 5 shared references 1987Foreign currency futuresarticle · 5 shared references 1991Forward exchange rates and risk premiums in artificial economiesarticle · 5 shared references

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Year1986

Typearticle

Published1986-03-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations194

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0261-5606(86)90015-x

openalex_workW2890945211

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1989

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1985On time varying risk premia in the foreign exchange market: An econometric analysis

1987Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach