Foreign Currency Futures
نویسندگان
چکیده
The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiums in the futures marke1. Unbiasedness of daily futures prices as predictors of the following day’s futures price is rejected for all currencies. Reconciliation of daily and monthly data requires positive serial correlation in daily risk premiums.
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