Počet záznamů: 1

Macroeconomic sources of foreign exchange risk in new EU members

  1. 1.
    0330828 - NHU-C 2010 RIV NL eng J - Článek v odborném periodiku
    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
    Grant CEP: GA ČR(CZ) GA402/08/1376; GA MŠk LC542
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: foreign exchange risk * time-varying risk premium * Stochastic discount factor * new EU member countries
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 1.908, rok: 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.
    Trvalý link: http://hdl.handle.net/11104/0176522