#  Exchange Risk Premium 

 



 "[Exchange Rate Expectations and the Risk Premium](/file_url/1365): Tests for a Cross-Section of 17 Currencies," with Menzie Chinn, 1993, [*Review of International Economics* 1, no.2, June, 136-144](https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1467-9396.1993.tb00011.x). [NBER WP no. 3806](https://www.nber.org/papers/w3806), 1991.

 "[Forward Discount Bias: Is it an Exchange Risk Premium?](/file_url/1360)" with Ken Froot, [*Quarterly Journal of Economics*](http://www.jstor.org/journals/00335533.html) 104, [no.1 (February 1989), 139-161](https://academic.oup.com/qje/article-abstract/104/1/139/1876008). [UCB WP 8874](https://cloudfront.escholarship.org/dist/prd/content/qt5w65g4zg/qt5w65g4zg.pdf), 1988; [NBER WP 1963](https://www.nber.org/papers/w1963), 1986. Reprinted in *Advances in Behavioral Finance*, Richard Thaler, ed. (Russell Sage Foundation, New York), 1993, 359-381.

 "[Recent Estimates of Time-Variation](/file_url/1364) in [the Conditional Variance](/file_url/1367) and in the Exchange Risk Premium," [*Journal of International Money and Finance*](http://www.elsevier.nl/homepage/sae/econbase/jimf/menu.sht), 7 (March 1988), 115-125.

 "[The Implications of Mean-Variance Optimization](/file_url/1366) for Four Questions in International Macroeconomics," [*Journal of International Money and Finance*](http://www.elsevier.nl/homepage/sae/econbase/jimf/menu.sht), 5 (March 1986), S53-75. [NBER WP no. 1617](https://www.nber.org/papers/w1617).

 "[Do Asset Demand Functions Optimize](/file_url/1368) Over the Mean and Variance of Real Returns? A Six Currency Test," with Charles Engel, 1984, [*Journal of International Economics*](http://www.elsevier.nl/homepage/sae/econbase/inec/menu.sht) 17, December, 309-323. [NBER Working Paper No. 1051.](https://www.nber.org/papers/w1051)

 “[Estimation of portfolio-balance functions that are mean-variance optimizing: The mark and the dollar](https://www.sciencedirect.com/science/article/abs/pii/0014292183900351),” 1983, *European Economic Review*, [Vol. 23, Issue 3](https://www.sciencedirect.com/science/journal/00142921/23/3), September, Pages 315-327. Federal Reserve Board [International Finance](/file_url/919) [Discussion Paper No. 188, 1981](https://www.federalreserve.gov/Pubs/Ifdp/1981/188/ifdp188.pdf).

 ["In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization,"](https://www.sciencedirect.com/science/article/pii/0261560682900195) 1982, [*Journal of International Money and Finance* 1, Dec., 255-274](/file_url/819). 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 Marke](/file_url/1370)t," 1982, [*Southern Economic Journal*, Oct., vol. 48](https://www.jstor.org/stable/1058491).

 "[The Diversifiability of Exchange Risk](/file_url/1429)," 1979, [*Journal of International Economics* 9, Aug., 379-393](https://www.sciencedirect.com/science/article/abs/pii/0022199679900321).

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 See also:- [ Exchange Risk Premium ](/expectations-participants-foreign-exchange-markets-terms/exchange-risk-premium)