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Análisis de variabilidad de la prima de riesgo


  • Zenón Jiménez-Ridruejo Ayuso

    (Universidad de Valladolid)

  • Mª Carmen Lorenzo Lago

    (Universidad de Valladolid)


Este trabajo tiene como objetivo analizar la existencia de una prima de riesgo variab le en el mercado peseta dólar en el ámbito de modelos que incorporan el consumo intertemporal como una componente adicional a la hora de asignar la riqueza líquida. En estos modelos, la prima de riesgo puede explicarse por la suma de dos componentes, la varianza condicional de la tasa de depreciación y la covarianza condicional entre la relación marginal de sustitución y dicha tasa. Este artículo, presenta las estimaciones derivadas de distintos procesos ARCH para la varianza condicional en el período 1977-1995. Asimismo, se presentan resultados de la estimación de las covarianzas lo cual nos permite dilucidar el carácter constante o variable de la prima de riesgo This paper investigates the risk premium persistence in the peseta-dólar exchange market, using intertemporal consumption models as a framework. In that class of models, the risk premium can be explained by the conjuntion of two components: the depreciation rate conditional variance inxchange market and the covariations of this variable with the intertemporal rate of marginal substitution. We also empirically examine evidence about several ARCH process in the conditional variance during 1977-1995. In the same way, we presents covariations empirical test that allow us to discriminate the caracter and evolution of the risk premium.

Suggested Citation

  • Zenón Jiménez-Ridruejo Ayuso & Mª Carmen Lorenzo Lago, 1996. "Análisis de variabilidad de la prima de riesgo," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 5, pages 33-57, Junio.
  • Handle: RePEc:lrk:eeaart:5_2_2

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    References listed on IDEAS

    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Hodrick, Robert J. & Srivastava, Sanjay, 1986. "The covariation of risk premiums and expected future spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages 5-21, March.
    4. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
    5. Frankel, Jeffrey A., 1986. "The implications of mean-variance optimization for four questions in international macroeconomics," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages 53-75, March.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    8. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
    9. Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
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    More about this item


    Prima de Riesgo; Varianza condicional; ARCH; Rendimientos reales;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty


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