TY - JOUR
T1 - Exchange rate risk premiums
AU - Cheng, Yin-Wong
PY - 1993/4
Y1 - 1993/4
N2 - A state space model which allows for the covariation of risk premiums and unexpected rates of depreciation is used to study exchange rate risk premiums. We find that exchange rate risk premiums have a high degree of persistence and the covariance of risk premiums and unexpected rates of depreciation is negative. Regressions of the estimated risk premium on its determinants implied by the equilibrium model of Lucas (1982) show limited support for the model. (JEL F31). © 1993.
AB - A state space model which allows for the covariation of risk premiums and unexpected rates of depreciation is used to study exchange rate risk premiums. We find that exchange rate risk premiums have a high degree of persistence and the covariance of risk premiums and unexpected rates of depreciation is negative. Regressions of the estimated risk premium on its determinants implied by the equilibrium model of Lucas (1982) show limited support for the model. (JEL F31). © 1993.
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U2 - 10.1016/0261-5606(93)90023-5
DO - 10.1016/0261-5606(93)90023-5
M3 - RGC 21 - Publication in refereed journal
SN - 0261-5606
VL - 12
SP - 182
EP - 194
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
IS - 2
ER -