haku: @indexterm INCOMPLETE MARKETS / yhteensä: 34
viite: 9 / 34
| Tekijä: | Leduc, S. |
| Otsikko: | Incomplete markets, borrowing constraints, and the foreign exchange risk premium |
| Lehti: | Journal of International Money and Finance
2002 : DEC, VOL. 21:7, p. 957-980 |
| Asiasana: | ASSETS FOREIGN EXCHANGE INCOMPLETE MARKETS PRICES RISK PREMIUM |
| Kieli: | eng |
| Tiivistelmä: | This paper solves a model consisting of two monetary economies with incomplete markets, in which agents are subject to borrowing constraints. The paper investigates is such a framework is able to account for the volatility and the size of the foreign exchange risk premium. The model succeeds in increasing substantially the volatility of the risk premium to about 30% of that in the data. |
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