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The International Price of Exchange Rate Risk: Evidence from the ICAPM

Mohamed Arouri ()

The IUP Journal of Applied Economics, 2005, vol. IV, issue 6, 34-60

Abstract: In this paper, we investigate whether exchange rate risk is internationally priced for both developed and emerging stock markets. we use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. The evidence supports strongly the international asset pricing model that includes exchange rate risk. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:04:y:2005:i:6:p:34-60

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