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La prime de risque dans un cadre international : le risque de change est-il apprécié ?

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  • Mohamed El Hedi Arouri

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.

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  • Mohamed El Hedi Arouri, 2009. "La prime de risque dans un cadre international : le risque de change est-il apprécié ?," Working Papers hal-00387124, HAL.
    • Handle: RePEc:hal:wpaper:hal-00387124
    Note: View the original document on HAL open archive server: https://hal.science/hal-00387124
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    Cited by:

    1. Mohamed El Hédi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
    2. Salem Boubakri, 2009. "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," Working Papers hal-04140890, HAL.
    3. Khaled Guesmi, 2009. "Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI," Working Papers hal-04140841, HAL.

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