On The Time Varying Risk Premium In The Yen Dollar Exchange Market

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Language: en
Pages: 52

On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market

Authors: Fabio Canova

Categories: Foreign exchange

Type: BOOK - Published: 1988 - Publisher:

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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 calcu