|
|||||
|
|
EMS exchange rate expectations and time-varying risk premia |
|
| Authors: | Frederick G M C Nieuwland Willem F C Verschoor Christian CP Wolff |
| Institution: | aAlgemeen Burgerlijk Pensioenfonds, Heerlen, The Netherlands;bDe Nationale Investeringsbank, The Hague, The Netherlands;cLimburg Institute of Financial Economics (LIFE), Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands;dCEPR, London, UK |
| 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: | Exchange rates EMS Risk premia survey data |
| 本文献已被 ScienceDirect 等数据库收录！ | |