It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.
|Original language||English (US)|
|Number of pages||25|
|Journal||Journal of Economics Zeitschrift für Nationalökonomie|
|State||Published - Feb 1 1993|
ASJC Scopus subject areas
- Economics and Econometrics
- Business, Management and Accounting(all)