Macroeconomic sources of foreign exchange risk in new EU members

0330828 - NHU-C 2010 RIV NL eng J - Článek v odborném periodiku
Kočenda, Evžen - Poghosyan, T.
Macroeconomic sources of foreign exchange risk in new EU members.
Journal of Banking & Finance. Roč. 33, č. 11 (2009), s. 2164-2173. ISSN 0378-4266. E-ISSN 1872-6372
Grant CEP: GA ČR(CZ) GA402/08/1376; GA MŠMT LC542
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: foreign exchange risk * time-varying risk premium * Stochastic discount factor * new EU member countries
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.908, rok: 2009

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. We derive the observable macroeconomic factors—consumption and inflation—using the stochastic discount factor (SDF) approach. The joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate GARCH-in-mean specification.
Trvalý link: http://hdl.handle.net/11104/0176522