Time-Varying Exchange Rate Risk Premium

Anh D.M.Nguyen and Ly Dai Hung

MPRA Paper from University Library of Munich, Germany

Abstract: We characterize the exchange rate risk premium on the context of a small open economy with controlled floating exchange rate regime. The data set includes 100 observations on case of Vietnam over 01/2011-04/2019. The risk premium is varying over time. And it is determined by output growth rate, inflation rate, foreign capital inflows and liquidity supply. As one application, the existence of time varying risk premium reduces the effectiveness of foreign exchange market intervention by forward contract.

Keywords: Exchange Rate Premium; Foreign Exchange Intervention; Forward Contract (search for similar items in EconPapers)
JEL-codes: F15 F36 F43 (search for similar items in EconPapers)
Date: 2019-06
New Economics Papers: this item is included in nep-fmk, nep-mon, nep-sea and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/94600/1/MPRA_paper_94600.pdf original version (application/pdf)

Related works:
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:pra:mprapa:94600

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().