Exchange Risk Premium

"Exchange Rate Expectations and the Risk Premium: Tests for a Cross-Section of 17 Currencies," with Menzie Chinn, 1993, Review of International Economics 1, no.2, June, 136-144.   NBER WP no. 3806, 1991.

"Forward Discount Bias: Is it an Exchange Risk Premium?" with Ken Froot, Quarterly Journal of Economics 104, no.1 (February 1989), 139-161. UCB  WP  8874, 1988;  NBER WP 1963, 1986.  Reprinted in Advances in Behavioral Finance, Richard Thaler, ed. (Russell Sage Foundation, New York), 1993, 359-381.

"Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," Journal of International Money and Finance, 7 (March 1988), 115-125.

"The Implications of Mean-Variance Optimization for Four Questions in International Macroeconomics," Journal of International Money and Finance, 5 (March 1986), S53-75.  NBER WP no. 1617.

"Do Asset Demand Functions Optimize Over the Mean and Variance of Real Returns? A Six Currency Test," with Charles Engel, 1984, Journal of International Economics 17, December, 309-323.   NBER Working Paper No. 1051.

“Estimation of portfolio-balance functions that are mean-variance optimizing: The mark and the dollar,” 1983, European Economic Review,  Vol. 23, Issue 3, September, Pages 315-327.  Federal Reserve Board International Finance Discussion Paper No. 188, 1981.

"In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization,"  1982, Journal of International Money and Finance 1, Dec., 255-274. Reprinted in Exchange Rate Economics, Vol.II, R.MacDonald and M.Taylor, eds., International Library of Critical Writings in Economics (Edward Elgar Publ., Hants, U.K.), 1992.

"A Test of Perfect Substitutability in the Foreign Exchange Market," 1982, Southern Economic Journal, Oct., vol. 48.

"The Diversifiability of Exchange Risk," 1979, Journal of International Economics 9, Aug., 379-393.

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