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The VAR model produces \u2018better\u2019 forecasts than the survey responses for turbulent periods such as 1981\u20131982 and 1984\u20131985. The VAR\u2010generated expectations are then used to construct a risk premium time\u2010series. This risk premium series seems to be more reliable than the ones obtained using either survey data on expectations of the future spot exchange rate or the ex\u2010post realized spot exchange rate. Tests on the risk premium series suggest that a risk premium was present, but that it was virtually constant throughout the sample. The conditional variance of the risk premium changed over time, but its unconditional distribution seemed stable across subsamples. Despite these features, the volatility of the series was substantial and varied considerably throughout the sample.<\/jats:p>","DOI":"10.1002\/jae.3950060203","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T15:22:44Z","timestamp":1184253764000},"page":"125-142","source":"Crossref","is-referenced-by-count":20,"title":["The time\u2010series properties of the risk premium in the Yen\/Dollar exchange market"],"prefix":"10.1002","volume":"6","author":[{"given":"Fabio","family":"Canova","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Takatoshi","family":"Ito","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Brock W. andW.Deckert(1988) \u2018A general class of specification tests: the scalar case\u2019 (mimeo)."},{"key":"e_1_2_1_3_1","unstructured":"Canova F.(1990) \u2018Are exchange rates really random walks?\u2019 Brown University Working Paper90\u201312."},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Canova F.(1991) \u2018An empirical analysis of ex\u2010ante profits from forward speculation in foreign exchange markets\u2019 Review of Economics and Statistics (forthcoming).","DOI":"10.2307\/2109573"},{"key":"e_1_2_1_5_1","doi-asserted-by":"crossref","unstructured":"Canova F. andT.Ito(1987) \u2018On the time varying risk premium in the yen\/dollar exchange market\u2019 University of Minnesota Working Paper No. 244.","DOI":"10.3386\/w2678"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(84)90047-3"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(88)90023-2"},{"key":"e_1_2_1_8_1","first-page":"121","volume-title":"Exchange Rates: Theory and Practice","author":"Cumby R.","year":"1983"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(90)90006-8"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938408800053"},{"key":"e_1_2_1_12_1","first-page":"267","article-title":"Are foreign exchange forecasts rational: new evidence from survey data","volume":"22","author":"Dominguez C.","year":"1986","journal-title":"Economic Letters"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(85)90018-2"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950040203"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913242"},{"key":"e_1_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521344301.007"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(84)90046-1"},{"key":"e_1_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Flood R.(1988) \u2018Asset prices and time varying risk\u2019 IMF Working Paper No. 8842.","DOI":"10.3386\/w2780"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(82)90019-5"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(86)90019-7"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(84)90026-6"},{"key":"e_1_2_1_22_1","first-page":"133","article-title":"Short\u2010term and long\u2010term expectations of the yen\/dollar exchange rate: evidence from survey data","volume":"77","author":"Frankel J.","year":"1987","journal-title":"American Economic Review"},{"key":"e_1_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Frankel J. andR.Meese(1987) \u2018Are exchange rates excessively volatile?\u2019NBER Macroeconomic Annual pp.118\u2013153.","DOI":"10.1086\/ma.2.4623711"},{"key":"e_1_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/2937838"},{"key":"e_1_2_1_25_1","volume-title":"On fitting recalcitrant series: the dollar\u2010pound exchange rate","author":"Gallant R.","year":"1988"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1926062"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(87)90016-7"},{"key":"e_1_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(88)90010-1"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_1_30_1","first-page":"113","volume-title":"Exchange Rates and International Macroeconomics","author":"Hansen L. 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