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Are option-implied forecasts of exchange rate volatility excessively variable?

Wei, Shang-jin; Frankel, Jeffrey A. - 1991

Persistent link: https://www.econbiz.de/10000826385

Survey data on exchange-rate expectations : more currencies, more horizons, more tests

Chinn, Menzie David; Frankel, Jeffrey A. - In: Monetary policy, capital flows and exchange rates : …, (pp. 145-167). 2002

Persistent link: https://www.econbiz.de/10001751740

Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?

Wei, Shang-Jin - 1991

Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the applicability of the standard Black-Scholes formula....

Persistent link: https://www.econbiz.de/10012475077

Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations

Froot, Kenneth A. - 1986

Survey data on exchange rate expectations are used to divide the forward discount into expected depreciation and a risk … premium. Our starting point is the common test oh whether the forward discount is an unbiased predictor of future changes in … the spot rate. We use the surveys to decompose the bias into a protion attributable to the risk premium and a portion …

Persistent link: https://www.econbiz.de/10012477109

Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies

Chinn, Menzie David; Frankel, Jeffrey A. - 2021

Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves … five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as …

Persistent link: https://www.econbiz.de/10013226178