The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should … vary more than they do -- exchange rates are much too smooth. We calculate an index of international risk sharing that … formalizes this intuition in the context of both complete and incomplete capital markets. Our results suggest that risk sharing …

exchange rates -- determine the risk characteristics of nominal assets, and how these risk characteristics determine …

risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the … conditional variance itself, and therefore the risk premium, to vary over time. In particular, it examines the implications of … time, that the exchange risk premium had to be small in magnitude and variability …

general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time … volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing …

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time … variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are …

well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk …, can have a significant effect on risk premiums in the foreign exchange market and can induce conditional volatility of …