| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP494 |
| DP494 The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk | |
| Lars E.O. Svensson | |
| 发表日期 | 1991 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | The foreign exchange risk premium in an exchange rate target-zone regime with devaluation/realignment risks is derived. In contrast to previous literature, the exchange rate's heteroscedasticity within the band, as well as a separate devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from stochastic exchange rate movements within the band and from stochastic devaluations/realignments when the bank is shifted. Both real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are very small for narrow target zones and can therefore be disregarded. The real and nominal risk premia from devaluations/realignments are larger but still relatively small proportions of the expected rate of devaluation/realignment. |
| 主题 | International Macroeconomics |
| 关键词 | Devaluation Exchange rates Foreign exchange Realignment Risk premia Target zones |
| URL | https://cepr.org/publications/dp494 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529652 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson. DP494 The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk. 1991. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Lars E.O. Svensson]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Lars E.O. Svensson]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Lars E.O. Svensson]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
