This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is...

The aim of this study is to analyze the potential risk premium inherent in the uncovered interest parity (UIP) condition. In this approach the GARCH class models, including Component GARCH are used to measure the time-varying risk premium and the results show that it is significant in most...