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• W2100954611 startingPage "125" @default.
• W2100954611 abstract "In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex-ante time-series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR-generated expectations are then used to construct a risk premium time-series. This risk premium series seems to be more reliable than the ones obtained using either survey data on expectations of the future spot exchange rate or the ex-post realized spot exchange rate. Tests on the risk premium series suggest that a risk premium was present, but that it was virtually constant throughout the sample. The conditional variance of the risk premium changed over time, but its unconditional distribution seemed stable across subsamples. Despite these features, the volatility of the series was substantial and varied considerably throughout the sample." @default.
• W2100954611 created "2016-06-24" @default.
• W2100954611 creator A5021559671 @default.
• W2100954611 creator A5030261519 @default.
• W2100954611 date "1991-04-01" @default.
• W2100954611 modified "2023-10-03" @default.
• W2100954611 title "The time-series properties of the risk premium in the Yen/Dollar exchange market" @default.
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• W2100954611 doi "https://doi.org/10.1002/jae.3950060203" @default.
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