Foreign Exchange Risk Premium Determinants: Case of Armenia
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- Tigran Poghosyan & Evzen Kocenda, 2006. "Foreign Exchange Risk Premium Determinants: Case of Armenia," William Davidson Institute Working Papers Series wp811, William Davidson Institute at the University of Michigan.
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More about this item
Keywords“Forward premium” puzzle; exchange rate risk; time-varying risk premium; affine term structure models; GARCH-in-Mean; foreign and domestic deposits; transition and emerging markets; Armenia.;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- P20 - Economic Systems - - Socialist Systems and Transition Economies - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-28 (All new papers)
- NEP-CWA-2006-07-28 (Central & Western Asia)
- NEP-FIN-2006-07-28 (Finance)
- NEP-IFN-2006-07-28 (International Finance)
- NEP-MAC-2006-07-28 (Macroeconomics)
- NEP-MON-2006-07-28 (Monetary Economics)
- NEP-TRA-2006-07-28 (Transition Economics)
- NEP-UPT-2006-07-28 (Utility Models & Prospect Theory)
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