TY  - JOUR
AU  - Cumby,Robert E.
TI  - Is it Risk?  Explaining Deviations from Uncovered Interest Parity
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2380
PY  - 1987
Y2  - September 1987
UR  - http://www.nber.org/papers/w2380
L1  - http://www.nber.org/papers/w2380.pdf
N1  - Author contact info:
Robert E. Cumby
Georgetown University
School of Foreign Service
Washington, DC 20057-1045
Tel: 202/687-2990
Fax: 202/687-6102
E-Mail: cumbyr@georgetown.edu
AB  - 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.
ER  -