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Macroeconomic sources of foreign exchange risk in new EU members
- 1.0310536 - NHU-C 2009 RIV US eng O - Others
Poghosyan, Tigran - Kočenda, Evžen
Macroeconomic sources of foreign exchange risk in new EU members.
[Makroekonomické zdroje devizových rizik u nových členů EU.]
2008
R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠMT LC542
Institutional research plan: CEZ:MSM0021620846
Keywords : foreign exchange risk * time-varying risk premium * stochastic discount factor
Subject RIV: AH - Economics
We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model.
Řešíme problém devizových rizik a jejich makroekonomických determinant u několika nových členských států EU. V modelu používáme stochastický diskontní faktor a vícerozměrný GARCH model.
Permanent Link: http://hdl.handle.net/11104/0162369
Number of the records: 1