Biblioteca de la Universidad Complutense de Madrid

State-Uncertainty preferences and the Risk Premium in the Exchange rate market

Impacto



Jimenez-Martin, Juan-Angel y Novales Cinca, Alfonso (2009) State-Uncertainty preferences and the Risk Premium in the Exchange rate market. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0908, 2009, ] (No publicado)

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Resumen

This paper introduces state-uncertainty preferences into the Lucas (1982) economy,showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic risk” and “the risk associated with variation in the private agents’ perception on the level of uncertainty”. State-uncertainty preferences amount to assuming that a given level of consumption will yield a higher level of utility the lower is the level of uncertainty perceived by consumers. Furthermore, empirical evidence from three main European economies in the transition period to the euro provides empirical support for the model


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL Classification: F31, F41, G12, G15

Palabras clave:Risk premium, Taste shocks, Fundamental uncertainty
Materias:Ciencias Sociales > Economía > Macroeconomía
Ciencias Sociales > Economía > Indicadores económicos
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2009
Número:0908
Código ID:8626
Depositado:11 Mar 2009 10:26
Última Modificación:19 Jun 2015 11:40

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