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Macroeconomic sources of foreign exchange risk in new EU members
- 1.0330828 - NHU-C 2010 RIV NL eng J - Journal Article
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
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 * new EU member countries
Subject RIV: AH - Economics
Impact factor: 1.908, year: 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.
Permanent Link: http://hdl.handle.net/11104/0176522
Number of the records: 1