THE WORLD PRICE OF FOREIGN-EXCHANGE RISK

• 成果类型: Article
• 署名作者: DUMAS, B; SOLNIK, B
• 署名单位: National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329415
• 发表日期: 1995
• 页码: 445-479
• 关键词: EXCESS RETURNS; interest-rates; models; MARKET; tests; equity; consumption; uncertainty; COVARIANCES; portfolio

摘要

Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia.