THE FOREIGN-EXCHANGE RISK PREMIUM IN A TARGET ZONE WITH DEVALUATION RISK

被引：55
|
作者：
SVENSSON, LEO
机构：
[1] INT MONETARY FUND,WASHINGTON,DC 20431
[2] NATL BUR ECON RES,CAMBRIDGE,MA 02138
[3] CTR ECON POLICY RES,LONDON,ENGLAND
来源：
JOURNAL OF INTERNATIONAL ECONOMICS | 1992年 / 33卷 / 1-2期
关键词：
D O I：
10.1016/0022-1996(92)90048-O
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The foreign exchange risk premium in an exchange rate target zone is derived, when the exchange rate is heteroskedastic within the band and there is a separate devaluation risk. The risk premium is then the sum of two separate risk premia, arising from uncertainty about exchange rate movements within the band and from uncertainty about devaluations. Both real and nominal fisk premia are considered. Real and nominal risk premia from movements within the band are very small. Real and nominal risk premia from devaluations are larger but still relatively small proportions of the interest rate differential.
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页码：21 / 40
页数：20
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