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 use weekly data on foreign and domestic currency deposits, which coexist in the Armenian banking system. This coexistence implies elimination of the cross-country risks and...