Poghosyan, Tigran; Evžen KoÄenda; ZemÄik, Petr - In: Emerging Markets Finance and Trade 44 (2008) 1, pp. 41-61
This paper applies stochastic discount factor methodology to modeling the foreign exchange risk premium in Armenia. We … implies elimination of the cross-country risks and transaction costs, leaving the pure foreign exchange risk. It is shown that … exchange fluctuations. We also find that the foreign exchange risk premium accounts for the largest part of the interest …