TY  - JOUR
AU  - Hodrick,Robert J.
AU  - Srivastava,Sanjay
TI  - Foreign Currency Futures
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1743
PY  - 1985
Y2  - October 1985
UR  - http://www.nber.org/papers/w1743
L1  - http://www.nber.org/papers/w1743.pdf
N1  - Author contact info:
Robert J. Hodrick
Graduate School of Business
Columbia University
3022 Broadway
New York, NY 10027
Tel: 212/854-3413
Fax: 212/316-9219
E-Mail: rh169@columbia.edu

Sanjay Srivastava
Deopartment of Risk Management and Insurance
Georgia State University
E-Mail: ssrivastava@gsu.edu
AB  - The theoretical nature of risk premiums in foreign currency futures markets is derived and studied empirically. Estimation problems encountered in using futures data are discussed. Since forward rates and futures prices are demonstrated 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 market. 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.
ER  -