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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Diskussionsbeiträge - Serie II ; No. 299
- Classification
-
Wirtschaft
Foreign Exchange
International Monetary Arrangements and Institutions
- Subject
-
exchange rate risk
currency forward markets
risk premium
Währungsderivat
Risikoprämie
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Broll, Udo
Eckwert, Bernhard
- Event
-
Veröffentlichung
- (who)
-
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
- (where)
-
Konstanz
- (when)
-
1996
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Broll, Udo
- Eckwert, Bernhard
- Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
Time of origin
- 1996
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Hedging with synthetical forwards and the export decision
The impact of inflation risk on forward trading and production
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Transparency in the foreign exchange market and the volume of international trade
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