Foreign Exchange Risk Premium in the Financial Markets and Its Measurement Techniques
Foreign exchange risk premium is the intrinsic factor which revises foreign exchange risk in financial markets. For simple sense a small open economy is assumed in the article, which has not captured the bonding of optimum of representative family consumption, wealth allocation and the random effects of financial policies in macroeconomic stochastic dynamic general equilibrium. It is also shown that the volatility of foreign exchange rate is related directly to the correlations of domestic and foreign interest, price level and no-risk zero coupon bond. The studying gives the chance of exploiting the risk mechanism between different currencies and its measurement. As for an example, Renminbi exchange rate between main currencies in the world capital markets also is demonstrated in the paper, and its stochastic principle is also displayed in the last part of the article.
Renminbi Exchange Rate Foreign Exchange Risk Premium Geometric Brown Motion Risk Measurement
He Sihui Wang Zhenlong
Xian University of Finance and Economics Xian 710061
国际会议
北京
英文
318-326
2005-11-10（万方平台首次上网日期，不代表论文的发表时间）