haku: @author Sibert, A. / yhteensä: 10
viite: 9 / 10
Tekijä: | Sibert, A. |
Otsikko: | Unconventional preferences: Do they explain foreign exchange risk premia? |
Lehti: | Journal of International Money and Finance
1996 : FEB, VOL. 15:1, p. 149-165 |
Asiasana: | FOREIGN EXCHANGE MARKET EQUILIBRIUM ANALYSIS RISK |
Kieli: | eng |
Tiivistelmä: | The purpose of this paper is to examine the impact of non-standard preferences in an incomplete-markets, equilibrium model of the forward foreign exchange market. I find that habit persistence has almost no impact on the mean or standard deviation of either real or nominal risk premia. With ordinal-certainty-equivalent preferences , the mean and standard deviations of risk premia are sensitive to the intemporal elasticity of substitution; however, even extreme values of this variable do not allow replication of actual data. |
SCIMA