International Financial Management 2nd Edition by Geert Bekaert ,Robert Hodrick

تمرين 19

Suppose the estimated slope coefficient in a regression of the rate of depreciation of the dollar relative to the yen on a constant and the forward discount on the dollar is -2, and the standard deviation of the forward discount, measured on an annualized basis, is 2.5%. What is a lower bound for the variability of the risk premium in the yen-dollar forward market