Abstract
I analyze how the stance of monetary policy predicts variance risk premia in the currency market. The stance of US monetary policy predicts currency variance risk premia, after controlling for the stance of the foreign currency’s monetary policy. Contractionary US monetary policy predicts lower currency variance risk premia, consistent with an increase in investor risk aversion. In contrast, the stance of the foreign currency’s monetary policy does not predict currency variance risk premia, after controlling for the stance of US monetary policy.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: 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.
