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La transición al euro y la prima de riesgo en el mercado de divisas

Jiménez Martín, Juan Ángel and Peruga Urrea, Rodrigo (2003) La transición al euro y la prima de riesgo en el mercado de divisas. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0306, 2003, ]

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Abstract

Este artículo trata de identificar los determinantes de las primas de riesgo en algunas de las monedas europeas justo antes de la Unión Monetaria. Los autores proponen un modelo de determinación del tipo de cambio y derivan una expresión para la prima
forward. Esta expresión incluye variables monetarias y de producción y como novedad incorpora el efecto de la incertidumbre derivada de la política macroeconómica del estado. Esto es la principal contribución teórica del papel. Bajo supuestos estándar, esta fórmula se simplifica sustancialmente y permite aplicar el análisis de regresión. Después se estiman regresiones para cada una de las monedas, utilizando las medidas habituales de los agregados monetarios y la producción, junto con los tipos de interés Swaps, que se utilizan para medir el riesgo asociado a la política macroeconómica. Esta es la principal contribución empírica del trabajo.

The goal of this paper is to identify the main determinants of the risk premium in some
European currency markets just before the EMU. To do this the authors propose an exchange
rate model and derive a formula for the forward premium. This formula includes money and
production variables and is quite standard, except for the inclusion of macroeconomic policy
risk. This inclusion is the main theoretical contribution of the paper. Under some standard
assumptions, this formula simplifies substantially and becomes amenable to regression
analysis. Then, using standard measures of money and production and the interest rate swaps,
which are intended to be measures of macroeconomic policy risk, the regression is
estimated. This inclusion is the main empirical contribution of the paper.


Item Type:Working Paper or Technical Report
Additional Information:

Clasificación JEL: F31, F41, G12, G15

Uncontrolled Keywords:Primas de riesgo, Peso Problem, Incertidumbre macroeconómica, Sistema monetario europeo, Risk premium, Peso Problem, Macroeconomic policy risk, European monetary System
Subjects:Social sciences > Economics > Money
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2003
Number:0306
ID Code:7710
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Deposited On:10 Mar 2008
Last Modified:06 Feb 2014 07:55

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