G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3133
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
URLhttps://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.
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