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Exchange rate risk in Central European countries
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SYSNO ASEP 0342813 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Exchange rate risk in Central European countries Author(s) Kočenda, Evžen (NHU-C) RID
Poghosyan, T. (AM)Source Title Finance a úvěr-Czech Journal of Economics and Finance. - : Univerzita Karlova v Praze - ISSN 0015-1920
Roč. 60, č. 1 (2010), s. 22-39Number of pages 18 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords foreign exchange risk ; time-varying risk premium ; stochastic discount factor Subject RIV AH - Economics R&D Projects GA402/08/1376 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000275701100002 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2011
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