Interest rate parity and foreign exchange risk premia in the ERM

被引：9

作者：

Ayuso, J

Restoy, F

机构：

[1] Research Department, Banco de España, Servicio de Estudios, 28014 Madrid

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1996年 / 15卷 / 03期

关键词：

D O I：

10.1016/0261-5606(96)00010-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we evaluate Uncovered Interest Rate Parity in the ERM by testing market efficiency and zero risk premia in a general asset pricing framework. The overidentifying conditions derived from the model are not rejected but we strongly reject risk neutrality. Nevertheless, estimated risk premia between ERM currencies are moderate to low. Therefore, due to the diversifiability of foreign exchange risk, the standard UIP relation between exchange rates and interest rates is a reasonable approximation within the ERM. (JEL F31, G12, G15). Copyright (C) 1996 Elsevier Science Ltd

引用

页码：369 / 382

页数：14

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