On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market
Author | : Fabio Canova |
Publisher | : |
Total Pages | : 52 |
Release | : 1988 |
ISBN-10 | : UCSD:31822004978367 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market written by Fabio Canova and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.