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 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 | |
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Pages | |
Release | 1988 |
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On Time-series Properties of Time-varying Risk Premium in the Yen
Title | On Time-series Properties of Time-varying Risk Premium in the Yen PDF eBook |
Author | Fabio Canova |
Publisher | |
Pages | 16 |
Release | 1988 |
Genre | |
ISBN |
On Time-Series Properties of Time-Varying Risk Premium in the Yen
Title | On Time-Series Properties of Time-Varying Risk Premium in the Yen PDF eBook |
Author | |
Publisher | |
Pages | |
Release | 1991 |
Genre | |
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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 |
The Time Series Properties of the Risk Premium in the Rand-dollar Exchange Market
Title | The Time Series Properties of the Risk Premium in the Rand-dollar Exchange Market PDF eBook |
Author | John Goullee |
Publisher | |
Pages | 114 |
Release | 1992 |
Genre | Economic forecasting |
ISBN |
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 | |
ISBN |