Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
Abstract
In this paper we study the determination of forward foreign exchange rates. An exchange rate is the price of one currency in terms of another currency, and a forward rate is a contractual exchange rate established at a point in time for a transaction that will take place at the maturity date on the contract in the future. Well-organized forward markets exist for all major currencies of the world for various maturities, with the most active contract lengths being one, three, six, and twelve months.
Download PDF
Citation
Hansen, Lars, and Robert Hodrick. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models." In Exchange Rates and International Macroeconomics, 113-152. University of Chicago: University of Chicago Press, 1983.
Each author name for a Columbia Business School faculty member is linked to a faculty research page, which lists additional publications by that faculty member.
Each topic is linked to an index of publications on that topic.