Measuring the risk premium in uncovered interest parity using the component GARCH-M model

被引：31
|
作者：
Li, Dandan [1 ]
Ghoshray, Atanu [1 ]
Morley, Bruce [1 ]
机构：
[1] Univ Bath, Dept Econ, Bath BA2 7AY, Avon, England
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2012年 / 24卷
关键词：
Risk premium; Uncovered interest parity; Component GARCH-in-mean; RETURN RELATION; EXCHANGE; VOLATILITY; PUZZLE; RUN;
D O I：
10.1016/j.iref.2012.02.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of this study is to analyze the potential risk premium inherent in the uncovered interest parity (UIP) condition. The component GARCH-in-mean model is used to measure the time-varying risk premium in DIP and separates the permanent and transitory risks. The results show that the risk premium is significant in most countries studied in this analysis. This suggests that risk is an important part of modeling exchange rates and needs to be considered in both empirical and theoretical models. In general, the results suggest that emerging countries work better in terms of UIP and the risk premium than developed countries. (C) 2012 Elsevier Inc. All rights reserved.
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页码：167 / 176
页数：10
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