Naslov (eng)

Uncovered Interest-rate Parity and Risk Premium : Evidence from EUR/RSD Exchange Rate

Autor

Božović, Miloš

Opis (eng)

ABSTRACT: This paper examines the uncovered interest-rate parity in a developing economy that implements inflation targeting. We study the exchange rate between the Euro and Serbian Dinar over different time horizons. We apply APARCH-in-mean to measure the impact and nature of a time-varying risk premium and capture the influence of higher- order moments on expected currency returns. We find a significant positive association between the returns and the interest-rate differ- ential over shorter horizons when the risk premium is included. Asymmetries and fat tails are essential in explaining average returns over time horizons of up to one month.

Jezik

engleski

Datum

2021

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Keywords: Interest-rate differential; time-varying premium; exchange-rate fundamentals

Deo kolekcije (1)

o:28218

Ekonomski fakultet