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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Published in | Economics letters Vol. 37; no. 4; pp. 447 - 452 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Amsterdam
Elsevier B.V
1991
Elsevier North Holland |
Series | Economics Letters |
Subjects | |
Online Access | Get full text |
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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. |
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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 |