Siegel, J. J. (1972), Risk interest rates and the forward exchange, Quarterly Journal o f Economics, 89, 173-175. Home/Search Document Not in Database Summary Related Articles |
This paper is cited in the following contexts:
The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....the formation of rational expectations (Muth (1960) t k S = t E t k S ( t k u (2) 1 The justification for using logarithms as opposed to levels in (1) is connected to Siegel s paradox. Assuming for a moment that the relationship in (1) is expressed in levels (without taking logs) Siegel (1972) notes that such a relationship must hold true on both sides of the market, that is, it must also hold true that t E 1 t k S ( 1 t f . However, t E t k S ( t f and t E 1 t k S ( 1 t f cannot simultaneously hold when the variables are expressed in levels due to Jensen s ....
Siegel, J. J. (1972), Risk interest rates and the forward exchange, Quarterly Journal o f Economics, 89, 173-175.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC