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A joint test of risk premia in exchange rates and rational expectations |
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| Authors: | M.Ercan Kumcu |
| Affiliation: | Eastern Michigan University, Ypsilanti, MI 48197, USA |
| Abstract: | This note presents a simple joint test of existence of a risk premium in exchange rates and the rationality of expectations. It is shown that major currency prices studied in this note are subject to a risk premium. |
| Keywords: | |
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