Single Beta Models and currency Futures Prices

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio.

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Year of publication:	1991
Authors:	McCurdy, Thomas H. ; Morgan, Ieuan G.
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics

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Series:	Queen's Economics Department Working Paper ; 845
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/189169 [Handle] RePEC:qed:wpaper:845 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011940507