search query: @indexterm foreign exchange / total: 493
reference: 55 / 493
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. |
SCIMA