Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence from Italian Data
IMF Working Paper No. 97/39
Posted: 17 Sep 1998
There are 2 versions of this paper
Foreign Exchange Risk Premium: Does Fiscal Policy Matter?: Evidence from Italian Data
IMF Working Paper No. 97/39
Number of pages: 39
Posted: 15 Feb 2006
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101
Date Written: 1997
Abstract
This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-1994), unconditional risk premiums--constructed using survey data to measure exchange rate expectations--are found to be sizable, highly volatile, and predictable.
JEL Classification: F31, G1, H6, C42
Suggested Citation: Suggested Citation
Giorgianni, Lorenzo, Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence from Italian Data (1997). IMF Working Paper No. 97/39, Available at SSRN: https://ssrn.com/abstract=54580
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