000			01934cam a22003017 4500
001			w4818
003			NBER
005			20211020114345.0
006			m o d
007			cr cnu||||||||
008			210910s1994 mau fo 000 0 eng d
100	1		_aBekaert, Geert. _95936
245	1	4	_aThe Time Variation of Risk and Return in Foreign Exchange Markets: _bA General Equilibrium Perspective / _cGeert Bekaert.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c1994.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w4818
500			_aAugust 1994.
520	3		_aThis paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w4818.
856	4	0	_uhttps://www.nber.org/papers/w4818
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w4818
942			_2ddc _cW-PAPER
999			_c343574 _d302136