EMS exchange rate expectations and time-varying risk premia

被引：9

作者：

Nieuwland, FGMC

Verschoor, WFC

Wolff, CCP

机构：

[1] Maastricht Univ, LIFE, NL-6200 MD Maastricht, Netherlands

[2] Algemeen Burgerlijk Pensioenfonds, Heerlen, Netherlands

[3] Natl Investeringsbank, The Hague, Netherlands

[4] CEPR, London, England

来源：

ECONOMICS LETTERS | 1998年 / 60卷 / 03期

关键词：

exchange rates; EMS; risk premia; survey data;

D O I：

10.1016/S0165-1765(98)00128-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we examine exchange risk premia employing a survey dataset of EMS exchange rates. We are able to test a risk premium model directly, i.e. without having to rely on the rational expectations assumption. Our results indicate that time-varying risk premia are present in almost all cases and that a GARCH-in-mean specification for the premium is often appropriate. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：351 / 355

页数：5

共 6 条

[1] FURTHER EVIDENCE ON EXCHANGE-RATE EXPECTATIONS [J].