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    Unconventional preferences: do they explain foreign exchange risk premia

    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.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 28 Jul 2020 08:59
    Last Modified: 28 Jul 2020 08:59
    URI: https://eprints.bbk.ac.uk/id/eprint/32714

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