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FOREX risk premia and policy uncertainty: a recursive utility analysis

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dc.contributor.authorLynne Evans
dc.contributor.authorTuralay Kenc
dc.contributor.authorKenc, Turalay
dc.date.accessioned2022-05-29T06:28:06Z
dc.date.available2022-05-29T06:28:06Z
dc.date.issued2004
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_US
dc.identifier.citationEvans, L. & Kenc, T. (2004). FOREX risk premia and policy uncertainty: a recursive utility analysis. Journal of International Financial Markets, Institutions and Money, 14 (1), pp. 1-24.en_US
dc.identifier.doihttps://doi.org/10.1016/S1042-4431(03)00041-6
dc.identifier.issn1042-443
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3562
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.V.en_US
dc.rights2004. Elsevier B.V.
dc.sourceSEDONA
dc.subjectForeign exchange risk premiumen_US
dc.subjectStochastic general equilibrium modelsen_US
dc.subjectPolicy uncertaintyen_US
dc.subjectRecursive utilityen_US
dc.titleFOREX risk premia and policy uncertainty: a recursive utility analysisen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional financeen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
relation.isAuthorOfPublication7bdf745e-8829-456f-9e4f-fcc43b78d818
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