April 1987This paper is a discussion of "Empirical Assessment of Foreign Currency RiskPremiums" by Richard Meese, presented at the Federal Reserve Bank of St. Louisconference on "Financial Risk: Theory, Evidence and Implications," November14-15, 1986. I am grateful for discussions with Richard Meese, for helpfulcomments from the Penn macro lunch group, and for financial support from theNational Science Foundation and the Alfred P. Sloan Foundation. I retain fullresponsibility, however, for any errors and all opinions. The research reportedhere is part of the NBER's research program in International Studies. Anyopinions expressed are those of the author and not those of the National Bureauof Economic Research.