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• W2014520130 abstract "A portfolio-balance model of the DM/S rate under rational expectations is specified, in which systematic risk-induced deviations from uncovered interest parity are allowed. This leads to a reduced from containing a potentially time-varying risk premium, which we approximate and estimate using an ARCH-in-mean approach. The maximum likelihood estimator and a Lagrande multiplier test for ARCH-in-mean are developed. The estimation results indicate a small, but non-negligible, time-varying risk premium." @default.
• W2014520130 created "2016-06-24" @default.
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• W2014520130 date "1988-01-01" @default.
• W2014520130 modified "2023-10-04" @default.
• W2014520130 title "Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate" @default.
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• W2014520130 doi "https://doi.org/10.1016/0014-2921(88)90033-5" @default.
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