Monetary policy regime changes and the risk premium in the foreign exchange markets: A GARCH application

This paper reports an empirical relationship between conduct of monetary policy and the foreign exchange risk premium, using GARCH(1, 1). The time-variation of the risk premium is shown to depend significantly on the changes in the monetary policy regime.

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Bibliographic Details
Published inEconomics letters Vol. 37; no. 4; pp. 447 - 452
Main Authors Choi, Seungmook, Kim, Benjamin J.C.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 1991
Elsevier
North Holland
SeriesEconomics Letters
Subjects
Foreign exchange
Monetary policy
Risk
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Summary:This paper reports an empirical relationship between conduct of monetary policy and the foreign exchange risk premium, using GARCH(1, 1). The time-variation of the risk premium is shown to depend significantly on the changes in the monetary policy regime.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(91)90085-Y