Foreign Exchange Risk Premia and Goods Market Frictions
Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general...
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| Format: | Article |
| Language: | English |
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Korea Institute for International Economic Policy
2015-03-01
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| Series: | East Asian Economic Review |
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| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.1.289 |