Exchange rate risk premiums

Yin-Wong Cheng

doi:10.1016/0261-5606(93)90023-5

Exchange rate risk premiums

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Overview

30 Scopus Citations

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Author(s)

Yin-Wong Cheng

Detail(s)

Original language	English
Pages (from-to)	182-194
Journal / Publication	Journal of International Money and Finance
Volume	12
Issue number	2
Publication status	Published - Apr 1993
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1016/0261-5606(93)90023-5 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0000031390&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(228efaaf-aa27-411c-a995-40ced4269d40).html

Abstract

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.