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

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

-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We … characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the …

interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums is surveyed … risk premiums. General equilibrium models of the risk premium are examined and their empirical implications explored. The …

primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected … five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as …

The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector … autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series … is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of …

risk premium and expected real depreciation. We find a high degree of capital mobility across political boundaries for most …

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 …

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