|
|||||
|
|
Risk premiums in asset prices and returns |
|
| Authors: | David K. Backus Allan W. Gregory |
| Abstract: | We review recent research on time-varying risk premiums, including attempts to explain rejections by baillie and others of the unbiasedness hypothesis. Using spot and forward foreign exchange rates we discuss the evidence for time-varying risk premiums, relate it to general equilibrium theories of asset pricing, and describe the artificial economy methodology. |
| Keywords: | risk premiums forward and spot exchange rates asset-pricing artificial economies |
| 本文献已被 InformaWorld 等数据库收录！ | |