Alvarez Garrido, Fernando (contributor); … - 2003 - [Elektronische Ressource]
this
investor, the dollar return on the euro bond is risky because next period’s exchange rate is
not known today. The risk … premium compensates the investor who chooses to hold the euro
bond for this exchange rate risk. Specifically, in logs, the … risk premium p
t
is the expected log
dollar return on a euro bond minus the log dollar return on a dollar bond,
p
t
= i
∗
t …