La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas
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.
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- Carlo A. Favero & Francesco Giavazzi & Fabrizio Iacone & Guido Tabellini, .
"Extracting Information from Asset Prices: the Methodology of EMU Calculators,"
113, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997. "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers 1676, C.E.P.R. Discussion Papers.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- Geert Bekaert & Robert J. Hodrick, 1991.
"Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,"
NBER Working Papers
3790, National Bureau of Economic Research, Inc.
- 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.
- N/A, 1997. "Book Note," Urban Studies, Urban Studies Journal Limited, vol. 34(1), pages 178-178, January.
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