Estimates of foreign exchange risk premia: a pricing kernel approach

被引：3

作者：

Cappiello, Lorenzo ^{[1
]}

Panigirtzoglou, Nikolaos ^{[2
]}

机构：

[1] European Cent Bank, D-60311 Frankfurt, Germany

[2] Univ London, Dept Econ, London E1 4NS, England

来源：

EMPIRICAL ECONOMICS | 2008年 / 35卷 / 03期

关键词：

UIP; Risk premia; Pricing kernel; F31; G12; C32;

D O I：

10.1007/s00181-007-0173-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The goal of this study is to measure market prices of risk and foreign exchange risk premia. Estimations of minimum variance pricing kernels permit to determine market prices of risk, which, in an international no-arbitrage framework, allow to measure foreign exchange risk premia. Market prices of risk are time-varying and surge during financial turmoils. Foreign exchange risk premia are on average small in comparison to interest rate differentials and exhibit significant variation from the early 1970s onwards, when the Bretton Woods exchange rate system collapsed. At times, foreign exchange risk premia dominate interest rate differentials.

引用

页码：475 / 495

页数：21

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