On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market
Title | On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market PDF eBook |
Author | Fabio Canova |
Publisher | |
Pages | 52 |
Release | 1988 |
Genre | Foreign exchange |
ISBN |
The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.
On the Time Varying Risk Premium in the Yen/dollar Exchange Market
Title | On the Time Varying Risk Premium in the Yen/dollar Exchange Market PDF eBook |
Author | Fabio Canova |
Publisher | |
Pages | 24 |
Release | 1987 |
Genre | Foreign exchange |
ISBN |
On Time-series Properties of Time-varying Risk Premium in the Yen/Dollar Exchange Market
Title | On Time-series Properties of Time-varying Risk Premium in the Yen/Dollar Exchange Market PDF eBook |
Author | |
Publisher | |
Pages | |
Release | 1988 |
Genre | |
ISBN |
More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
Title | More Evidence on the Dollar Risk Premium in the Foreign Exchange Market PDF eBook |
Author | Dennis Bams |
Publisher | |
Pages | 42 |
Release | 2003 |
Genre | Dollar, American |
ISBN |
Exchange Rate Volatilies and Time-varying Risk Premium in East Asia
Title | Exchange Rate Volatilies and Time-varying Risk Premium in East Asia PDF eBook |
Author | Chae-sik Chŏng |
Publisher | KIEP |
Pages | 78 |
Release | 2004 |
Genre | Foreign exchange rates |
ISBN |
The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate
Title | The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate PDF eBook |
Author | Stuart Landon |
Publisher | |
Pages | 0 |
Release | 2003 |
Genre | |
ISBN |
The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in many empirical studies. The rejection of this hypothesis could occur because market behavior is inconsistent with rational-expectations or because there exists a risk premium. Equations describing the forward premium and the change in the exchange rate are estimated jointly, and tests of both the rational-expectations and no-risk-premium hypotheses are conducted. Empirical estimates, obtained using quarterly data for the yen-dollar exchange rate, reject the rational-expectations hypothesis and suggest that there exists a time-varying risk premium.
Time-varying Risk Premium in the Foreign Exchange Market
Title | Time-varying Risk Premium in the Foreign Exchange Market PDF eBook |
Author | Pamela H. Chang |
Publisher | |
Pages | 33 |
Release | 1992 |
Genre | Foreign exchange market |
ISBN |