Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189169 
Year of Publication: 
1991
Series/Report no.: 
Queen's Economics Department Working Paper No. 845
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio.
Document Type: 
Working Paper

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