Exchange risk premia in the European monetary system
AbstractIn this article, a survey database of exchange rate expectations is employed to examine EMS exchange risk premia. We are able to test a risk premium model directly, i.e. without having to rely on the rational expectations assumption. The results indicate that time-varying risk premia are almost always present and that a (G)ARCH-in-mean specification is often quite succesful in capturing the essential features of the premia.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 10 (2000)
Issue (Month): 4 ()
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