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Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment / Lars E.O. Svensson.
- Format:
- Book
- Author/Creator:
- Svensson, Lars E.O.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4544.
- NBER working paper series no. w4544
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Term, Inflation, and Foreign Exchange Risk Premia
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Summary:
- 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.
- Notes:
- Print version record
- November 1993.
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