FOREX risk premia and policy uncertainty: A recursive utility analysis.
No === 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 wi...
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2009
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| Online Access: | http://hdl.handle.net/10454/3135 |
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ndltd-BRADFORD-oai-bradscholars.brad.ac.uk-10454-31352019-08-31T03:02:20Z FOREX risk premia and policy uncertainty: A recursive utility analysis. Kenc, Turalay Evans, L. Foreign exchange risk premium Stochastic general equilibrium models Policy uncertainty Recursive utility No 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. 2009-07-27T13:37:16Z 2009-07-27T13:37:16Z 2004 Article published version paper Kenc, 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. http://hdl.handle.net/10454/3135 en http://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.pdf |
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NDLTD |
| language |
en |
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NDLTD |
| topic |
Foreign exchange risk premium Stochastic general equilibrium models Policy uncertainty Recursive utility |
| spellingShingle |
Foreign exchange risk premium Stochastic general equilibrium models Policy uncertainty Recursive utility Kenc, Turalay Evans, L. FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| description |
No === 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. |
| author |
Kenc, Turalay Evans, L. |
| author_facet |
Kenc, Turalay Evans, L. |
| author_sort |
Kenc, Turalay |
| title |
FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| title_short |
FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| title_full |
FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| title_fullStr |
FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| title_full_unstemmed |
FOREX risk premia and policy uncertainty: A recursive utility analysis. |
| title_sort |
forex risk premia and policy uncertainty: a recursive utility analysis. |
| publishDate |
2009 |
| url |
http://hdl.handle.net/10454/3135 |
| work_keys_str_mv |
AT kencturalay forexriskpremiaandpolicyuncertaintyarecursiveutilityanalysis AT evansl forexriskpremiaandpolicyuncertaintyarecursiveutilityanalysis |
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1719239458986917888 |