Sibert, Anne (1996) Unconventional preferences: do they explain foreign exchange risk premia. Journal of International Money and Finance 15 (1), pp. 149-165. ISSN 0261-5606.
Abstract
The purpose of this paper is to examine the impact of non-standard preferences in an incomplete-markets, equilibrium model of the forward foreign exchange market. I find that habit persistence has almost no impact on the mean or standard deviation of either real or nominal risk premia. With ordinal-certainty-equivalent preferences, the mean and standard deviations of risk premia are sensitive to the intertemporal elasticity of substitution; however, even extreme values of this variable do not allow replication of actual data.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 28 Jul 2020 08:59 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32714 |
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