Abstract
This paper reports an empirical relationship between conduct of monetary policy and the foreign exchange risk premium, using GARCH(1, 1). The time-variation of the risk premium is shown to depend significantly on the changes in the monetary policy regime.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.