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| Author: | MacDonald, R. |
| Title: | Is the foreign exchange market "risky"? Some new survey- based results |
| Journal: | Journal of Multinational Financial Management
2000 : JAN, VOL. 10:1, p. 1-14 |
| Index terms: | RISK FOREIGN EXCHANGE MARKETS |
| Language: | eng |
| Abstract: | In this paper the author examines the evidence in favour of time-varying risk premia for four foreign exchange markets. The main novelty in the author's work is that he uses survey-based expectations data to generate risk premia, rather than exploiting the rational expectations assumption. In contrast to the perceived wisdom on the existence of a foreign exchange risk premium, the author presents positive evidence for the view that risk is an important variable in foreign exchange markets. |
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