Title of article
EMS exchange rate expectations and time-varying risk premia
Author/Authors
Frederick G. M. C. Nieuwland، نويسنده , , Willem F. C. Verschoor، نويسنده , , Christian C.P. Wolff، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
5
From page
351
To page
355
Abstract
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.
Keywords
Risk premia , Survey data , Exchange rates , EMS
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434631
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