MONETARY-POLICY REGIME CHANGES AND THE RISK PREMIUM IN THE FOREIGN-EXCHANGE MARKETS - A GARCH APPLICATION

被引：5

作者：

CHOI, SM ^{[1
]}

KIM, BJC ^{[1
]}

机构：

[1] UNIV NEBRASKA, LINCOLN, NE 68588 USA

来源：

ECONOMICS LETTERS | 1991年 / 37卷 / 04期

关键词：

D O I：

10.1016/0165-1765(91)90085-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper reports an empirical relationship between conduct of monetary policy and the foreign exchange risk premium, using GARCH(1, 1). The time-variation of the risk premium is shown to depend significantly on the changes in the monetary policy regime.

引用

页码：447 / 452

页数：6

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