|
|
|
|
Title: |
Are Forward Rates Free of the Risk Premium? An
Empirical Examination |
| Author: |
Dutt, Swarna
D.; Ghosh, Dipak |
| Author
Affiliation: |
W GA College;
Tulane U |
| Source: |
International Economic Journal, Autumn 1995, v. 9, no. 3, pp. 49-60 |
|
Publication Date: |
Autumn 1995 |
|
Abstract: |
We revisit the controversial risk premium
hypothesis (RPH) using survey data on exchange rate expectations, and
the Phillips-Hansen fully modified ordinary least squares procedure.
This allows us to conduct an unrestricted cointegration analysis and
also differentiate between strong (bivariate) and weak (multivariate)
form of RPH. The no risk premium hypothesis is rejected across the board
for both data sets and over all forecast horizons. |
|
