The Journal of finance (New York), 1993-12, Vol.48 (5), p.1887-1908
1993
Volltextzugriff (PDF)
Details
- Autor(en) / Beteiligte
- Titel
- Accounting for Forward Rates in Markets for Foreign Currency
- Ist Teil von
- The Journal of finance (New York), 1993-12, Vol.48 (5), p.1887-1908
- Ort / Verlag
- Oxford, UK: Blackwell Publishing Ltd
- Erscheinungsjahr
- 1993
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0022-1082eISSN: 1540-6261DOI: 10.1111/j.1540-6261.1993.tb05132.xTitel-ID: cdi_proquest_miscellaneous_38478670
- Format
- –
- Schlagworte
- 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