Rational risk premia

This book grew out of my lecture notes for a graduate course in in- ternational macroeconomics and Þnance that I teach at the Ohio State University. The book is targeted towards second year graduate stu- dents in a Ph.D. program. The material is accessible to those who have completed core courses in statistics, econometrics, and macroeconomic theory typically taken in the Þrst year of graduate study.

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The exchange rate expectations, which are broad models of exchange rate forecasting and efficiency, by looking at approaches, such as the static expectations, the extrapolative, the adaptive, the rational, the regressive, and some general specifications of the above expectations. At the end, orthogonality tests suggest that rejection of the unbiased forward rate hypothesis is caused by different variables (like “news”, unexpected shocks, latent variables, forecast errors in money supplies, interest rate differentials, stock market risk premia, and various forms of conditional variance).

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