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Analyse de la relation entre primes de terme et prime de change dans un cadre d'équilibre international

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  • Hubert De La Bruslerie
  • Jean Mathis

Abstract

The idea of this article is to take in account both the existence of a domestic interest rate risk and an exchange rate risk. In an international context, we can show that the exchange rates premium is linked in a triangular relation with the two domestic term premiums. This equilibrium relation is successfully tested and includes the perfect substitution hypothesis as a special case.

Suggested Citation

  • Hubert De La Bruslerie & Jean Mathis, 1997. "Analyse de la relation entre primes de terme et prime de change dans un cadre d'équilibre international," Annals of Economics and Statistics, GENES, issue 46, pages 85-113.
    • Handle: RePEc:adr:anecst:y:1997:i:46:p:85-113
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    File URL: http://www.jstor.org/stable/20076069
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