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Description
  • We address the issue of foreign exchange risk and its macroeconomic determinants in several Central European (CE) economies. The joint distribution of excess returns in the foreign exchange market and observable country-specific macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model. We find that real factors seem to lack significance in determining foreign exchange risk, while nominal factors (inflation and money) have a significant impact. The differences in the impact of nominal factors are related to the actual monetary policy regimes adopted in the countries examined.
  • We address the issue of foreign exchange risk and its macroeconomic determinants in several Central European (CE) economies. The joint distribution of excess returns in the foreign exchange market and observable country-specific macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model. We find that real factors seem to lack significance in determining foreign exchange risk, while nominal factors (inflation and money) have a significant impact. The differences in the impact of nominal factors are related to the actual monetary policy regimes adopted in the countries examined. (en)
Title
  • Exchange rate risk in Central European countries
  • Exchange rate risk in Central European countries (en)
skos:prefLabel
  • Exchange rate risk in Central European countries
  • Exchange rate risk in Central European countries (en)
skos:notation
  • RIV/00216208:11640/10:00342813!RIV11-GA0-11640___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/08/1376), P(LC542), Z(MSM0021620846)
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 258154
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11640/10:00342813
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • foreign exchange risk; time-varying risk premium; stochastic discount factor (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [0550F33FBE95]
http://linked.open...i/riv/nazevZdroje
  • Finance a úvěr-Czech Journal of Economics and Finance
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 60
http://linked.open...iv/tvurceVysledku
  • Kočenda, Evžen
  • Poghosyan, T.
http://linked.open...ain/vavai/riv/wos
  • 000275701100002
http://linked.open...n/vavai/riv/zamer
issn
  • 0015-1920
number of pages
http://localhost/t...ganizacniJednotka
  • 11640
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