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.
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页码：447 / 452
页数：6
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