On the Foreign Exchange Risk Premium in Sticky-Price General Equilibrium Models
AbstractThe properties of the foreign exchange risk premium in general equilibrium models with sticky nominal pricesare examined. In these models, risk premiums arise endogenously because monetary shocks lead to covariationof consumption and exchange rates. In some cases, the risk premiums are much larger than those produced inneoclassical general equilibrium models. Copyright Kluwer Academic Publishers 1999
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Bibliographic InfoArticle provided by Springer in its journal International Tax and Public Finance.
Volume (Year): 6 (1999)
Issue (Month): 4 (November)
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Web page: http://www.springerlink.com/link.asp?id=102915
foreign exchange risk premium; interest parity; sticky prices;
Other versions of this item:
- Charles Engel, 1999. "On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models," NBER Working Papers 7067, National Bureau of Economic Research, Inc.
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
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