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Exchange risk premia in the European monetary system

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  • Frederick Nieuwland
  • Willem Verschoor
  • Christian Wolff

Abstract

In 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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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031471
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 10 (2000)
Issue (Month): 4 ()
Pages: 351-360

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Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:351-360

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Cited by:
  1. Juan José Echavarría & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia’s exchange rate survey," Borradores de Economia 735, Banco de la Republica de Colombia.
  2. Jongen, Ron & Verschoor, Willem F.C., 2008. "Further evidence on the rationality of interest rate expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 438-448, December.
  3. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank, Research Centre.

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