search query: @author Modjtahedi, B. / total: 1
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| Author: | Modjtahedi, B. |
| Title: | Multiple maturities and time-varying risk premia in forward exchange markets |
| Journal: | Journal of International Economics
1991 : FEB, VOL. 30:1/2, p. 69-86 |
| Index terms: | FORWARD EXCHANGE MARKETS RISK OPTIMIZATION MONEY MARKETS CAPITAL EXPENDITURE FINANCIAL MODELS |
| Language: | eng |
| Abstract: | The optimization problem of an international investor who can enter forward contracts of several maturity dates and simultaneously borrow in domestic money markets is considered extending the model of Lucas and Brock. The model parameters are estimated and the overidentifying restrictions are tested. The overidentifying restrictions are decisively rejected when forward premia are used, and the risk-neutral specification is rejected when the expenditures on non-durables and services are used as the consumption measures. Possible explanations for these rejections are offered. |
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