On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
收藏NBER1988-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2678
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资源简介：
The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk
提供机构：
美国国家经济研究局
创建时间：
1988-08-01
