Old paper made available: “Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment,” NBER Working Paper No. 4544, November 1993. (IIES Seminar Paper No. 548). Paper.

Abstract
The paper reviews the theoretical foundations of the use of forward interest rates to infer expected future rates of interest, inflation, currency depreciation and inflation differentials. Forward rates are related to these expected future variables via combinations of term, inflation and foreign exchange risk premia. A unified derivation, discussion and comparison of these premia is provided under both general and specific assumptions, as well as some comments on empirical estimation.