TY  - JOUR
AU  - Svensson,Lars E.O.
TI  - Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4544
PY  - 1993
Y2  - November 1993
UR  - http://www.nber.org/papers/w4544
L1  - http://www.nber.org/papers/w4544.pdf
N1  - Author contact info:
Lars E.O. Svensson
Sveriges Riksbank
SE-103 37 Stockholm
SWEDEN
Tel: +46 8 787 0107
Fax: +46 8 21 0531
E-Mail: lars.svensson@iies.su.se
AB  - The paper reviews the theoretical foundations of the use of forward interest rates to infer expected future rates of interest, inflation, currency depreciation and inflation differentials.  Forward rates are related to these expected future variables via combinations of term, inflation and foreign exchange risk premia.  A unified derivation, discussion and comparison of these premia is provided under both general and specific assumptions, as well as some comments on empirical estimation.
ER  -