Exchange rate risk premiums

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)182-194
Journal / PublicationJournal of International Money and Finance
Volume12
Issue number2
StatePublished - Apr 1993
Externally publishedYes

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.

Citation Format(s)

Exchange rate risk premiums. / Cheng, Yin-Wong.

In: Journal of International Money and Finance, Vol. 12, No. 2, 04.1993, p. 182-194.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review