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On the foreign exchange risk premium in a general equilibrium model

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  • Charles Engel

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Suggested Citation

  • Charles Engel, 1990. "On the foreign exchange risk premium in a general equilibrium model," Research Working Paper 90-06, Federal Reserve Bank of Kansas City.
  • Handle: RePEc:fip:fedkrw:90-06
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    References listed on IDEAS

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    1. Rose, Andrew K. & Svensson, Lars E. O., 1994. "European exchange rate credibility before the fall," European Economic Review, Elsevier, pages 1185-1216.
    2. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, pages 462-473.
    3. Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, pages 119-144.
    4. Rose, Andrew K. & Svensson, Lars E. O., 1994. "European exchange rate credibility before the fall," European Economic Review, Elsevier, pages 1185-1216.
    5. Park, Keehwan & Ahn, Chang Mo & Fujihara, Roger, 1993. "Optimal hedged portfolios: the case of jump-diffusion risks," Journal of International Money and Finance, Elsevier, pages 493-510.
    6. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, pages 60-68.
    7. Tucker, Alan L & Pond, Lallon, 1988. "The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes," The Review of Economics and Statistics, MIT Press, pages 638-647.
    8. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, pages 307-333.
    9. Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, pages 297-305.
    10. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, pages 689-713.
    11. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, pages 297-319.
    12. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, pages 357-384.
    13. Ball, Clifford A. & Roma, Antonio, 1993. "A jump diffusion model for the European monetary system," Journal of International Money and Finance, Elsevier, pages 475-492.
    14. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, pages 299-308.
    15. Akgiray, Vedat & Booth, G Geoffrey, 1988. "Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements," The Review of Economics and Statistics, MIT Press, pages 631-637.
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    Keywords

    Foreign exchange rates ; Risk;

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