Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats

This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that inferences using this procedure are very different from those using the standard assumption of homoscedasticity.

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Year of publication:	1982-01
Authors:	Hsieh, David A.
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	ITI IFM published as Hournal of Interlational Economics, Vol. 12, no.1/2 (1984): 173-184. Number 0843
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005034553