that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a … heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a …

Survey data on exchange rate expectations are used to divide the forward discount into expected depreciation and a risk … the spot rate. We use the surveys to decompose the bias into a protion attributable to the risk premium and a portion … forward discount do not yield insights into the sign, size or variability of the risk premium as is usually thought.We test …

Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ … model of the risk premium. Increases in expected rates of depreciation of the dollar relative to five foreign currencies are … positively correlated with increases in the expected profitability of purchasing these currencies in the forward market, and risk …

stochastic disturbances. Much risk averse speculation stabilizes domestic income against disturbances in the domestic bond market …

This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward …

, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange …-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are …

. The paper proposes an equilibrium theory of the term structure of the forward premium. By combining the theory of the term … expression for the expected one month forward premium. The theory will then impose highly non-linear cross equation restrictions … indicate that the data are consistent with the theory for Germany and inconsistent with the theory for Canada …