THE FOREIGN-EXCHANGE RISK PREMIUM IN A TARGET ZONE WITH DEVALUATION RISK
成果类型：
Article
署名作者：
SVENSSON, LEO
署名单位：
International Monetary Fund; National Bureau of Economic Research; Centre for Economic Policy Research - UK
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(92)90048-O
发表日期：
1992
页码：
21-40
关键词：
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.