Analyse de la relation entre primes de terme et prime de change dans un cadre d'équilibre international

Hubert de La Bruslerie and Jean Mathis

Annals of Economics and Statistics, 1997, issue 46, 85-113

Abstract: The idea of this article is to take in account both the existence of a domestic interest rate risk and an exchange rate risk. In an international context, we can show that the exchange rates premium is linked in a triangular relation with the two domestic term premiums. This equilibrium relation is successfully tested and includes the perfect substitution hypothesis as a special case.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1997:i:46:p:85-113

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