Number of the records: 1  

Macroeconomic sources of foreign exchange risk in new EU members

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    SYSNO ASEP0310536
    Document TypeO - Others
    R&D Document TypeOthers
    TitleMacroeconomic sources of foreign exchange risk in new EU members
    TitleMakroekonomické zdroje devizových rizik u nových členů EU
    Author(s) Poghosyan, Tigran (NHU-C)
    Kočenda, Evžen (NHU-C) RID
    Year of issue2008
    Languageeng - English
    CountryUS - United States
    Keywordsforeign exchange risk ; time-varying risk premium ; stochastic discount factor
    Subject RIVAH - Economics
    R&D ProjectsGA402/08/1376 GA ČR - Czech Science Foundation (CSF)
    LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
    CEZMSM0021620846 - NHU-C
    AnnotationWe 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.
    WorkplaceEconomics Institute - CERGE
    ContactTomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
    Year of Publishing2009
Number of the records: 1  

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