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On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market / Fabio Canova, Takatoshi Ito.
- Format:
- Book
- Author/Creator:
- Canova, Fabio.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2678.
- NBER working paper series no. w2678
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Summary:
- The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.
- Notes:
- Print version record
- August 1988.
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