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Exchange risk premia in the European monetary system


  • Frederick Nieuwland
  • Willem Verschoor
  • Christian Wolff


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.

Suggested Citation

  • Frederick Nieuwland & Willem Verschoor & Christian Wolff, 2000. "Exchange risk premia in the European monetary system," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 351-360.
  • Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:351-360 DOI: 10.1080/09603100050031471

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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    3. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, February.
    4. 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.

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