The Risk Premium in the Foreign Exchange Market
构建了一个动态优化模型，分析远期外汇市场中的风险溢价。模型假设个体面临随机禀赋和货币增长率，且不存在完全保险市场，外汇被用于对冲风险。研究发现，风险溢价大小与产出和货币增长的波动性相关，且名义风险溢价的凸性成分可能相当大。
This paper presents a dynamic, optimizing model of the risk premium in the forward foreign exchange market. Agents face random endowments and money growth rates. Complete insurance markets do not exist and foreign exchange is held to hedge against risk. In some examples with log-linear preferences, the size of the risk premium in the forward market is related to the variability of output and money growth. An interesting conclusion of the model is that for plausible examples, the convexity component of the nominal risk premium (due to Siegel's paradox) may be quite large relative to the total risk premium. Copyright 1989 by Ohio State University Press.