Bams, Dennis; Walkowiak, Kim; Wolff, Christian C - C.E.P.R. Discussion Papers - 2003
In this article, we develop and estimate an econometric panel data model to capture the common dynamics in dollar risk … premia in various forward foreign exchange rates. The common component in the dollar risk premia is highly significant and …-related common component. Our evidence also suggests that the three different foreign currencies’ dollar risk premia ‘respond’ to the …