On the foreign exchange risk premium in sticky-price general equilibrium models

被引：5
|
作者：
Engel, C [1 ]
机构：
[1] Univ Washington, Seattle, WA 98195 USA
[2] NBER, Dept Econ, Seattle, WA 98195 USA
来源：
INTERNATIONAL TAX AND PUBLIC FINANCE | 1999年 / 6卷 / 04期
基金：
美国国家科学基金会;
关键词：
foreign exchange risk premium; interest parity; sticky prices;
D O I：
10.1023/A:1008745213982
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The properties of the foreign exchange risk premium in general equilibrium models with sticky nominal prices are examined. In these models, risk premiums arise endogenously because monetary shocks lead to covariation of consumption and exchange rates. In some cases, the risk premiums are much larger than those produced in neoclassical general equilibrium models.
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页码：491 / 505
页数：15
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