Foreign Exchange Risk Premia and Goods Market Frictions
نویسندگان
چکیده
منابع مشابه
Hedging Demand and Foreign Exchange Risk Premia
This paper develops and tests a model of unobservable risk premia in the foreign exchange market. Risk premia in our model are driven by non-marketable income shocks which risk averse agents attempt to hedge by trading foreign currency. We test our model using data on hedging demand in currency futures and find that our proxy for risk premia explains approximately 45 percent of the variation in...
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ژورنال
عنوان ژورنال: East Asian Economic Review
سال: 2015
ISSN: 2508-1640,2508-1667
DOI: 10.11644/kiep.jeai.2015.19.1.289