On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market

The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982

MoreLess

Year of publication:	[2008]
Authors:	Canova, Fabio
Other Persons:	Itō, Takatoshi (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Zeitreihenanalyse \| Time series analysis \| Yen \| Japan \| US-Dollar \| US dollar \| Devisenmarkt \| Foreign exchange market \| Währungsderivat \| Currency derivative \| Wechselkurs \| Exchange rate

Extent:	1 Online-Ressource (32 p)
Series:	NBER Working Paper ; No. w2678
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1988 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012774551