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- Title
Asset price based estimates of sterling exchange rate risk premia.
- Authors
Groen, Jan J. J.; Balakrishnan, Ravi
- Abstract
Attempts to estimate the risk premium of several bilateral sterling exchange rates and the sterling effective exchange rate index in Great Britain. Tendency of the impact of the risk premium movements on sterling exchange rates to be limited to the short to medium run; Empirical validity of the approach used in estimating both the marginal rate of substitution and exchange rate risk premia; Ability of the estimated sterling exchange risk premia to improve the parameter estimates slightly in favor of uncovered interest rate parity.
- Subjects
UNITED Kingdom; POUND sterling; FOREIGN exchange rates; INTEREST rates; MONETARY policy; INTERNATIONAL finance
- Publication
Bank of England Quarterly Bulletin, 2005, Vol 45, Issue 1, p51
- ISSN
0005-5166
- Publication type
Article