| Author: | Cavaglia, S. Verschoor, W. Wolff, C. |
| Title: | On the biasedness of forward foreign exchange rates: irrationality or risk premia? |
| Journal: | Journal of Business
1994 : JUL, VOL. 67:3, p. 321-344 |
| Index terms: | BUSINESS ECONOMICS RISK EXCHANGE RATES |
| Language: | eng |
| Abstract: | In this article the authors reconsider the Froot and Franket results on the sources of forward discount bias. The authors question the economic validity of some estimation restrictions that they impose and, thus, are led to question some of their results. The authors employ a new exchange rate survey database that includes European Monetary System currencies and use inivariate and pooling estimation techniques that impose fewer restrictions than those of Froot and Frankel to test this hypothesis. |
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