| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3133 |
| DP3133 International Technology Diffusion | |
| Wolfgang Keller | |
| 发表日期 | 2002 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper is an exploration into the links between macroeconomics and finance as they affect the FOREX risk premium. SDF theory is used in which the factors are observable macroeconomic variables. Three SDF theories are compared: a benchmark model based on traditional tests of FOREX efficiency; consumption-based CAPM; and the monetary model of the exchange rate. The theory takes account of both domestic and foreign investors. The joint distribution of the excess return to FOREX and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH-in-mean. Monthly data for the sterling-dollar exchange rate 1975-97 are used. The results suggest that the FOREX risk premium is best modelled by CAPM based and the factors that determine next period?s exchange rate. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Forex Market efficiency risk premium Stochastic discount factors Garch |
| URL | https://cepr.org/publications/dp3133 |
| 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/532155 |
| 推荐引用方式 GB/T 7714 | Wolfgang Keller. DP3133 International Technology Diffusion. 2002. |
| 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 |
| [Wolfgang Keller]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Wolfgang Keller]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Wolfgang Keller]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。
