Uncovered Interest-rate Parity and Risk Premium: Evidence from EUR/RSD Exchange Rate

被引：4
|
作者：
Bozovic, Milos [1 ]
机构：
[1] Univ Belgrade, Fac Econ, Belgrade 11000, Serbia
来源：
EASTERN EUROPEAN ECONOMICS | 2021年 / 59卷 / 03期
关键词：
Interest-rate differential; time-varying premium; exchange-rate fundamentals; MONETARY-POLICY; PUZZLE; UNCERTAINTY; VOLATILITY; INFLATION; EXPLAIN; EXPECTATIONS; EXPLANATION; COUNTRIES; RETURNS;
D O I：
10.1080/00128775.2020.1840275
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the uncovered interest-rate parity in a developing economy that implements inflation targeting. We study the exchange rate between the Euro and Serbian Dinar over different time horizons. We apply APARCH-in-mean to measure the impact and nature of a time-varying risk premium and capture the influence of higher-order moments on expected currency returns. We find a significant positive association between the returns and the interest-rate differential over shorter horizons when the risk premium is included. Asymmetries and fat tails are essential in explaining average returns over time horizons of up to one month.
引用
收藏
页码：271 / 294
页数：24
相关论文
共 50 条
12345