Robert Hodrick

“Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models”

Coauthor(s): Lars Hansen.

Abstract:
In this paper we study the determination of forward foreign exchange rates. An exchange rate is the price of one currency in terms of another currency, and a forward rate is a contractual exchange rate established at a point in time for a transaction that will take place at the maturity date on the contract in the future. Well-organized forward markets exist for all major currencies of the world for various maturities, with the most active contract lengths being one, three, six, and twelve months.

Source: Exchange Rates and International Macroeconomics
Exact Citation:
Hansen, Lars, and Robert Hodrick. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models." In Exchange Rates and International Macroeconomics, 113-152. University of Chicago: University of Chicago Press, 1983.
Pages: 113-152
Place: University of Chicago
Date: 1983