TY  - JOUR
AU  - Frankel,Jeffrey
AU  - Chinn,Menzie
TI  - Exchange Rate Expectations and the Risk Premium: Tests For a Cross-     Section of 17 Currencies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3806
PY  - 1991
Y2  - August 1991
UR  - http://www.nber.org/papers/w3806
L1  - http://www.nber.org/papers/w3806.pdf
N1  - Author contact info:
Jeffrey A. Frankel
Kennedy School of Government
Harvard University
79 JFK Street
Cambridge, MA 02138
Tel: 617/496-3834
Fax: 617/496-5747
E-Mail: jeffrey_frankel@harvard.edu

Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also find evidence, in contrast to earlier studies involving only four or five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as well.
ER  -