On Time Series Properties Of Time Varying Risk Premium In The Yen Dollar Exchange Market
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On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market
Author | : Fabio Canova |
Publisher | : |
Total Pages | : 52 |
Release | : 1988 |
Genre | : Foreign exchange |
ISBN | : |
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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 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.
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