Northwestern Kellogg logo

Take Action

Home | Faculty & Research Overview | Research

Research Details

The Pricing of Forward Contracts for Foreign Exchange, Journal of Political Economy

Abstract

This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia, then the same premia should be observed in nominal bonds denominated in different currencies. This condition imposes testable restrictions on the parameters of a multivariate regression model. The empirical results are consistent with a world in which time-varying risk premia cause the observed deviations from unbiased expectations.

Type

Article

Author(s)

Robert Korajczyk

Date Published

1985

Citations

Korajczyk, Robert. 1985. The Pricing of Forward Contracts for Foreign Exchange. Journal of Political Economy.(2): 346-368.

KELLOGG INSIGHT

Explore leading research and ideas

Find articles, podcast episodes, and videos that spark ideas in lifelong learners, and inspire those looking to advance in their careers.
learn more

COURSE CATALOG

Review Courses & Schedules

Access information about specific courses and their schedules by viewing the interactive course scheduler tool.
LEARN MORE

DEGREE PROGRAMS

Discover the path to your goals

Whether you choose our Full-Time, Part-Time or Executive MBA program, you’ll enjoy the same unparalleled education, exceptional faculty and distinctive culture.
learn more