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Foreign Exchange Risk Premia and Goods Market Frictions

문성만
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2015.03|East Asian Economic Review|제19권 제1호|pp. 3-38|DOI http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.1.289

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참고문헌

키워드

Forward Premium AnomalyForeign Exchange Risk PremiumRandom Walk BehaviorsStaggered Price SettingInterest-sensitive Money DemandMonetary Shocks
주제분류경제학

초록

Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama’s volatility relations.

Abstract

Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama’s volatility relations.

참고문헌 (36)

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관련 논문AI추천

Foreign Exchange Return Predictability: Rational Expectations Risk Premium vs. Expectational Errors문성만대외경제정책연구원 · East Asian Economic Review2018 · 제22권 제4호Intermediary-Determined Exchange RatesNam Jong Kim한국국제경영학회 · 국제경영연구2016 · 제27권 제3호Openness and the Persistence of Real Exchange Rates: Calvo versus Taylor Price Settings문성만지암남덕우경제연구원 · 시장경제연구2014 · 제43권 제2호Understanding the Real Exchange Rate and Consumption: Limited Asset Market Participation정용승한국경제학회 · The Korean Economic Review2017 · 제33권 제1호Dynamics of Real Exchange Rates and Trade Balance in the Presence of Heterogeneous Preferences and Incomplete Financial Markets김영재, 안건미한국경제학회 · The Korean Economic Review2005 · 제21권 제2호Financial Frictions and the International Transmission of ShocksWoong Yong Park경제연구소 · Seoul Journal of Economics2019 · 제32권 제4호

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