Arbeitspapier
The equilibrium risk premium on the forward market for foreign currency
This paper constructs an intertemporal model of the spot and forward markets for foreign exchange and shows that in equilibrium the forward market is unbiased, i.e., the forward rate is equal to the expected spot rate which will prevail in the market next period. This holds true as long as the monetary authorities do not exogenously intervene in the foreign exchange market. Our analysis suggests that nominal exchange rate variability can affect the real sector of the economy only if active intervention policies are carried out on the spot exchange market.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeiträge - Serie II ; No. 299
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Monetary Arrangements and Institutions
- Thema
-
exchange rate risk
currency forward markets
risk premium
Währungsderivat
Risikoprämie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Broll, Udo
Eckwert, Bernhard
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
- (wo)
-
Konstanz
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Broll, Udo
- Eckwert, Bernhard
- Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
Entstanden
- 1996
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