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La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas

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Abstract

The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To do this the authors propose an exchange rate model and derive a formula for the forward premium. This formula includes money and production variables and is quite standard, except for the inclusion of macroeconomic policy risk. This inclusion is the main theoretical contribution of the paper. Under some standard assumptions, this formula simplifies substantially and becomes amenable to regression analysis. Then, using standard measures of money and production and the interest rate swaps, which are intended to be measures of macroeconomic policy risk, the regression is estimated. This inclusion is the main empirical contribution of the paper.

Suggested Citation

  • Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003. "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE 0306, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Handle: RePEc:ucm:doicae:0306
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    References listed on IDEAS

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    1. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.
    2. Bekaert, Geert & Hodrick, Robert J, 1992. " Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    4. N/A, 1997. "Book Note," Urban Studies, Urban Studies Journal Limited, vol. 34(1), pages 178-178, January.
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    More about this item

    Keywords

    Primas de riesgo; Peso Problem; Incertidumbre macroeconómica; Sistema monetario europeo; Risk premium; Peso Problem; Macroeconomic policy risk; European monetary System.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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