@techreport{NBERw2380,
 title = "Is it Risk?  Explaining Deviations from Uncovered Interest Parity",
 author = "Robert E. Cumby",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "2380",
 year = "1987",
 month = "September",
 URL = "http://www.nber.org/papers/w2380",
 abstract = {This paper analyzes ex-ante returns to forward speculation and asks if these returns can be explained by models of a foreign exchange risk premium. After presenting evidence that both nominal and real expected speculative profits are non-zero, the paper examines if real returns to forward speculation are consistent with consumption-based models of risk premia. Estimates of the conditional covariance between real speculative returns and real consumption growth are presented and, like ex-ante returns to forward speculation, they exhibit statistically significant fluctuations over time and often change sign.},
}