Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1990 (English)Report (Other academic)
Abstract [en]

The foreign exchange risks premium in an exchange rate target zone regime with devaluation/realignment risks is derived. In contrast to previous literature, the exchange rate's heteroscedasticity within the band, as well as separate devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from stochastic exchange rate movements within the band and from stochastic devaluations/realignments when the band is shifted. Both real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are very small for narrow target zones and can therefore be disregarded. The real and nominal risk premia from devaluations/realignments are larger but still relatively small proportions of the expected rate of devaluation/realignment.

Place, publisher, year, edition, pages
Stockholm: IIES , 1990. , 30 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 475
Keyword [en]
risk premium, foreign exchange, exchange rates, devaluation, realignment, target zones
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41781OAI: oai:DiVA.org:su-41781DiVA: diva2:337733
Available from: 2010-08-09 Created: 2010-08-09 Last updated: 2010-08-09Bibliographically approved

Open Access in DiVA

fulltext(4720 kB)316 downloads
File information
File name FULLTEXT01.pdfFile size 4720 kBChecksum SHA-512
042a6b32614d64bf93f534d63f5760fbaa87d30121468e76193ce95f4ed1ccab469caaff6584b0ef385f12b7cbc9b9f31b73e4ce13e34c20da44330abb8dfa7f
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Svensson, Lars E.O.
By organisation
Institute for International Economic Studies
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 316 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 52 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf