Abstract
In this paper exchange risk is defined as the unanticipated part of the future changes in the exchange rates of a given currency. The unanticipated component in the fluctuations of a given currency is identified on the basis of a dynamic equilibrium process which determines the anticipated changes in the future exchange rates. Following the basic definition, a hypothetical process of dynamic adjustment and an empirical illustration of a possible estimation are discussed.
| Original language | English |
|---|---|
| Pages (from-to) | 269-280 |
| Number of pages | 12 |
| Journal | Journal of Banking and Finance |
| Volume | 2 |
| Issue number | 3 |
| DOIs | |
| State | Published - Oct 1978 |