Year: 1987
Type: report
Abstract: This paper analyzes ex-ante returns to forward speculation and asks if these returns can be explained by models of a foreign exchange risk premiumi After presenting evidence that both nominal and real epected speculative profits are non-zero, the paper examines if real returns to forward speculation are consistent with consumption-based models of risk premia.Estimates of the conditional covariance between real speculative returns and real consumption growth are presented and, like ex-ante returns to forward speculation, they exhibit statistically significant fluctuations over time and often change sign.
DOI: 10.3386/w2380
Author: Robert Cumby
Institutions: National Bureau of Economic Research, Georgetown University
Language: English
Domain: Social Sciences
Open Access status: green
Funder: Ohio State University
OpenAlex ID: W1560056378