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Risk Premiums in Asset Prices and Returns

Author

Listed:
  • David K. Backus
  • Allan W. Gregory

Abstract

We review the recent research on time-varying risk premiums, including attempts to explain rejection 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.

Suggested Citation

  • David K. Backus & Allan W. Gregory, 1988. "Risk Premiums in Asset Prices and Returns," Working Paper 727, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:727
    as

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