The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test

The paper tests the hypothesis of a maturity-independent foreign exchange risk premium or equivalently of a constant elasticity of substitution of international assets across the maturity spectrum. The empirical findings indicate that elasticity of substitution is indeed a function of maturity. In addition, the premia are found to be a monotonic function of the maturity distance between assets.

MoreLess

Year of publication:	2005
Authors:	Drakos, Konstantinos
Published in:	Journal of Economic Integration. - Department of Economics and Trade. - Vol. 20.2005, p. 727-745
Publisher:	Department of Economics and Trade
Subject:	Elasticity of Substitution \| Risk Premium \| Expectations Hypothesis \| Term Structure

More details

Type of publication:	Article
Classification:	C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F30 - International Finance. General ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009392019