Article ID Journal Published Year Pages File Type
5083896 International Review of Economics & Finance 2012 10 Pages PDF
Abstract
► This study tests for a risk premium in uncovered interest parity (UIP). ► A component GARCH in mean model is used with both developed and emerging countries. ► The results provide evidence of a significant risk premium in most countries. ► Mostly the implicit restrictions of the UIP model still do not hold. ► In general UIP works better in emerging countries than the developed ones.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Measuring the risk premium in uncovered interest parity using the component GARCH-M model
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