Publication

FOREX risk premia and policy uncertainty: A recursive utility analysis

Kenc, Turalay
; 
Evans, L.
Publication Date
2004
End of Embargo
Supervisor
Keywords
Foreign exchange risk premium, Stochastic general equilibrium models, Policy uncertainty, Recursive utility
Rights
Peer-Reviewed
Yes
Open Access status
closedAccess
Accepted for publication
Institution
Department
Awarded
Embargo end date
Collections
Management and Law Publications
Show all metadata
Additional title
Abstract
We compare actual and calibrated values for the foreign exchange risk premium based on the definition in [J. Int. Econ. 32 (1992) 305]. Calibrated values are found from within a dynamic stochastic general equilibrium model of a small open economy consisting of risk averse optimizing agents with unconventional preferences. We find that the equilibrium foreign exchange risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk. Furthermore, various forms of policy uncertainty improve the capacity of the model to generate values closer to those found in the data.
URI
http://hdl.handle.net/10454/3135
Version
No full-text in the repository
Citation
Kenc,T and Evans L (2004) FOREX risk premia and policy uncertainty: A recursive utility analysis. Journal of International Financial Markets Institutions and Money. 14(1): 1-24.
Link to publisher’s version
Link to published version
Link to Version of Record
https://doi.org/10.1016/S1042-4431(03)00041-6
Type
Article
Qualification name
Notes