Monetary Unification and the Price of Risk: An Unconditional Analysis

Hans Dewachter, Kristien Smedts () and Konstantijn Maes ()
Additional contact information
Kristien Smedts: K.U.Leuven, C.E.S., International Economics

International Economics Working Papers Series from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics

Abstract: In this paper we assess the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries. We find that, already in the decade prior to EMU, exchange rate changes do not (unconditionally) correlate strongly with financial market movements across countries. Consequently elimination of exchange rate variability through monetary unification is not likely to have had major implications for pricing behavior in EMU markets.

Keywords: multi-country asset pricing model; exchange risk; price of risk conversion (search for similar items in EconPapers)
JEL-codes: F21 G12 G15 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2001-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econ.kuleuven.ac.be/ew/academic/intecon/publications/wpie006.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.econ.kuleuven.ac.be:80 (No such host is known. )

Related works:
Working Paper: Monetary Unification and the Price of Risk: An Unconditional Analysis (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kul:kulwps:wpie006

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in International Economics Working Papers Series from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jan Van Hove ( this e-mail address is bad, please contact ).