USING NONLINEAR METHODS TO SEARCH FOR RISK PREMIA IN CURRENCY FUTURES
成果类型：
Article
署名作者：
HSIEH, DA
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(93)90007-K
发表日期：
1993
页码：
113-132
关键词：
摘要：
This paper uses currency futures prices to test the joint null hypotheses of rational expectations and absence of a time-varying risk premium in the foreign exchange market. We find no linear predictability in the logarithm of futures price changes, either using its own past or past interest differentials. Also we establish that there is no non-linear predictability in log price changes, conditioning on its own past, or past interest rate differentials. Thus, if a time-varying risk premium exists in currency futures market, it is not related to its own past or past interest rate differentials.