La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas
AbstractThe goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To do this the authors propose an exchange rate model and derive a formula for the forward premium. This formula includes money and production variables and is quite standard, except for the inclusion of macroeconomic policy risk. This inclusion is the main theoretical contribution of the paper. Under some standard assumptions, this formula simplifies substantially and becomes amenable to regression analysis. Then, using standard measures of money and production and the interest rate swaps, which are intended to be measures of macroeconomic policy risk, the regression is estimated. This inclusion is the main empirical contribution of the paper.
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Bibliographic InfoPaper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0306.
Length: 43 pages
Date of creation: 2003
Date of revision:
Primas de riesgo; Peso Problem; Incertidumbre macroeconómica; Sistema monetario europeo; Risk premium; Peso Problem; Macroeconomic policy risk; European monetary System.;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-14 (All new papers)
- NEP-EEC-2003-12-14 (European Economics)
- NEP-FMK-2003-12-14 (Financial Markets)
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