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Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1993 (English)Report (Other academic)
Abstract [en]

The paper reviews the theoretical foundations of the use of forward interest rates to infer expected future rates of interest, inflation, currency depreciation and inflation differentials. Forward rates are related to these expected future viables via combinations of term, inflation and foreign exchange risk premia. A unified derivation, discussion and comparison of these premia is provided under both general and specific assumptions, as well as some comments on empirical estimation.

Place, publisher, year, edition, pages
Stockholm: IIES , 1993. , 38 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 548
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41867OAI: oai:DiVA.org:su-41867DiVA: diva2:338056
Available from: 2010-08-10 Created: 2010-08-10 Last updated: 2010-08-10Bibliographically approved

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fulltext(5439 kB)106 downloads
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Svensson, Lars E.O.
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
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  • Other locale
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Output format
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