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a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …
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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 …
Persistent link: https://www.econbiz.de/10012476638
This paper develops and applies a model of world trade and exchange rates to analyze dynamic interaction of the current account and exchange rate. The model is designed to concentrate on the determination of trade flows, prices and exchange rates for the OECD member countries but it also covers...
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the case when the rate of relative risk-aversion is larger than one. Third, the asset market structure, including the …
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The purpose of this paper is to investigate why the choice of invoice currency under exchange rate uncertainty depends not only on expectations but also on history. The analysis is motivated by the fact that the U.S. dollar has historically been the dominant vehicle currency in developing...
Persistent link: https://www.econbiz.de/10012466232
A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international trade. The panel data set used includes bilateral observations for five years spanning 1970 through 1990 for 186 countries. In this data set, there are over one hundred...
Persistent link: https://www.econbiz.de/10012471350