Nieuwland, Frederick; Verschoor, Willem; Wolff, Christian - In: Applied Financial Economics 10 (2000) 4, pp. 351-360
In this article, a survey database of exchange rate expectations is employed to examine EMS exchange risk premia. We are able to test a risk premium model directly, i.e. without having to rely on the rational expectations assumption. The results indicate that time-varying risk premia are almost...