On the Time Varying Risk Premium in the Yen/Dollar Exchange Market
1987-11
Loading...
View/Download File
Persistent link to this item
Statistics
View StatisticsJournal Title
Journal ISSN
Volume Title
Title
On the Time Varying Risk Premium in the Yen/Dollar Exchange Market
Alternative title
Authors
Published Date
1987-11
Publisher
Center for Economic Research, Department of Economics, University of Minnesota
Type
Working Paper
Abstract
The purpose of this paper is two-fold. First, a vector
autoregressive model (VAR) is constructed to investigate the relative
importance of monetary and real factors in the determination of the
the yen/dollar exchange rate. Second, the forecasts from the VAR
model are used to calculate a risk premium series.
We show that real factors, represented by the stock price
indices, statistically account f9r the dollar appreciation better
than monetary factors, represented by the intere5t rates. The dynamic
structure of interdependence between the exchange rate and the
domestic variables changed considerably after October 1982.
The risk premium calculated from the model shows a volatile and
time-varying nature. The hypothesis of no risk premium is strongly
rejected for the entire sample and each of the two subsamples
considered.
Keywords
Description
Related to
Replaces
License
Series/Report Number
Discussion Paper
244
244
Funding information
Isbn identifier
Doi identifier
Previously Published Citation
Canova, F. and Ito, T., (1987), "On the Time Varying Risk Premium in the Yen/Dollar Exchange Market", Discussion Paper No. 244, Center for Economic Research, Department of Economics, University of Minnesota.
Other identifiers
Suggested citation
Canova, Fabio; Ito, Takatoshi. (1987). On the Time Varying Risk Premium in the Yen/Dollar Exchange Market. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55522.
Content distributed via the University Digital Conservancy may be subject to additional license and use restrictions applied by the depositor. By using these files, users agree to the Terms of Use. Materials in the UDC may contain content that is disturbing and/or harmful. For more information, please see our statement on harmful content in digital repositories.