On the Foreign Exchange Risk Premium in Sticky-Price General Equilibrium Models

International Tax and Public Finance

Volumn 6, Issue 4, 1999, Pages 491-505

  Engel, Charles ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Foreign exchange risk premium; Interest parity; Sticky prices

Indexed keywords

EID: 0347713813     PISSN: 09275940     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008745213982     Document Type: Article

References (11)

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2. Devereux, Michael B., and Charles Engel. (1998). "Fixed vs. Floating Exchange Rates: How Price Setting Affects the Optimal Choice of Exchange-Rate Regime." National Bureau of Economic Research, working paper no. 6867.
3. Engel, Charles. (1984). "Testing for the Absence of Expected Real Profits from Forward Market Speculation." Journal of International Economics 17, 299-308.
4. Engel, Charles. (1992). "On the Foreign Exchange Risk Premium in a General Equilibrium Model." Journal of International Economics 32, 305-319.
5. Engel, Charles. (1996). "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence." Journal of Empirical Finance 3, 123-192.
6. Engel, Charles. (1999). "Accounting for U.S. Real Exchange Rate Changes." Journal of Political Economy 107, 507-553.
7. Hood, Robert P., and Andrew K. Rose. (1996). "Fixes: Of the Forward Discount Puzzle." Review of Economics and Statistics 78, 748-752.
8. Hodrick, Robert. (1987). The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Chur: Harwood.
9. Obstfeld, Maurice, and Kenneth Rogoff. (1995). "Exchange Rate Dynamics Redux." Journal of Political Economy 103, 624-660.
10. Obstfeld, Maurice, and Kenneth Rogoff. (1998). "Risk and Exchange Rates." National Bureau of Economic Research, working paper no. 6694.
11. Stulz, Rene. (1984). "Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model." Journal of Money, Credit and Banking 16, 302-316.