Exchange rate risk in Central European countries

0342813 - NHU-C 2011 RIV CZ eng J - Journal Article
Kočenda, Evžen - Poghosyan, T.
Exchange rate risk in Central European countries.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 60, č. 1 (2010), s. 22-39. ISSN 0015-1920. E-ISSN 0015-1920
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
Impact factor: 0.278, year: 2010
http://journal.fsv.cuni.cz/storage/1178_str_22_39_-_ko%C4%8Denda.pdf

We address the issue of foreign exchange risk and its macroeconomic determinants in several Central European (CE) economies. The joint distribution of excess returns in the foreign exchange market and observable country-specific macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model. We find that real factors seem to lack significance in determining foreign exchange risk, while nominal factors (inflation and money) have a significant impact. The differences in the impact of nominal factors are related to the actual monetary policy regimes adopted in the countries examined.
Permanent Link: http://hdl.handle.net/11104/0185440