Show simple item record

dc.contributor.authorKenc, Turalay
dc.contributor.authorEvans, L.
dc.date.accessioned2009-07-27T13:37:16Z
dc.date.available2009-07-27T13:37:16Z
dc.date.issued2004
dc.identifier.citationKenc, T. and Evans, L. (2004). FOREX risk premia and policy uncertainty: A recursive utility analysis. Journal of International Financial Markets Institutions and Money. Vol. 14, No. 1, pp 1-24.en
dc.identifier.urihttp://hdl.handle.net/10454/3135
dc.descriptionNoen
dc.description.abstractWe 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.en
dc.language.isoenen
dc.relation.isreferencedbyhttp://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VGT-4B4S6K6-1-90&_cdi=6047&_user=122861&_orig=search&_coverDate=02%2F29%2F2004&_sk=999859998&view=c&wchp=dGLbVlb-zSkWz&md5=1305d81ba7334c2e7641a4ca71287533&ie=/sdarticle.pdfen
dc.subjectForeign exchange risk premiumen
dc.subjectStochastic general equilibrium modelsen
dc.subjectPolicy uncertaintyen
dc.subjectRecursive utilityen
dc.titleFOREX risk premia and policy uncertainty: A recursive utility analysis.en
dc.status.refereedYesen
dc.typeArticleen
dc.type.versionpublished version paperen


This item appears in the following Collection(s)

Show simple item record