Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21
for the Swiss franc exchange rates. The price of risk estimates take unrealistic, negative values. One possible …This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss … franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work …