Foreign Exchange Risk Premia and Goods Market Frictions

Autor:	Seongman Moon
Jazyk:	angličtina
Rok vydání:	2015
Předmět:	Foreign Exchange Risk Premium Forward Premium Anomaly Random Walk Behaviors Staggered Price Setting Interest-sensitive Money Demand Monetary Shocks Economics as a science HB71-74
Zdroj:	East Asian Economic Review, Vol 19, Iss 1, Pp 3-38 (2015)
Druh dokumentu:	article
ISSN:	2508-1640 2508-1667
DOI:	10.11644/KIEP.JEAI.2015.19.1.289
Popis:	Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/dd5495dc38cd4331821f15eabdb408dd Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF