اندازه گیری صرف ریسک ارز خارجی رو به جلو: شواهد چند کشور از مدل اجزای مشاهده نشده

We investigate the nature of the foreign exchange risk premium for a wide range of currencies, using unobserved components models with exactly matched spot and forward exchange rate data. Significant time-variation of the risk premium is documented for most currencies. Our estimates indicate considerable persistence in the risk premium, and suggest that the variability of the risk premium is quite low relative to the variability of the forward forecast error.