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Foreign Currency Futures / Robert J. Hodrick, Sanjay Srivastava.
- Format:
- Book
- Author/Creator:
- Hodrick, Robert J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1743.
- NBER working paper series no. w1743
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1985.
- Summary:
- The theoretical nature of risk premiums in foreign currency futures markets is derived and studied empirically. Estimation problems encountered in using futures data are discussed. Since forward rates and futures prices are demonstrated to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiums in the futures market. Unbiasedness of daily futures prices as predictors of the following day's futures price is rejected for all currencies. Reconciliation of daily and monthly data requires positive serial correlation in daily risk premiums.
- Notes:
- Print version record
- October 1985.
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