Evidence of risk premiums in emerging market carry trade currencies
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- 作者：Marcelo Bittencourt Coelho dos Santos1 ; mbittencourtcs@yahoo.com.br" class="auth_mail" title="E-mail the corresponding author ; Marcelo Cabus Klotzle ; klotzle@iag.puc-rio.br" class="auth_mail" title="E-mail the corresponding author ; Antonio Carlos Figueiredo Pinto1 ; figueiredo@iag.puc-rio.br" class="auth_mail" title="E-mail the corresponding author
- 关键词：F30 ; F31
- 刊名：Journal of International Financial Markets, Institutions & Money
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：44
- 期：Complete
- 页码：103-115
- 全文大小：1192 K
文摘
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In all countries surveyed in this study, neither the expectations of the CIP nor UIP hold.
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In all currencies we confirmed the presence of risk premiums.
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There is long-term persistence for risk-premium volatility for all currencies.
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We also searched for the drivers of transitory and permanent risk-premium volatility.