Uncovered Interest-rate Parity and Risk Premium: Evidence from EUR/RSD Exchange Rate

This paper examines the uncovered interest-rate parity in a developing economy that implements inflation targeting. We study the exchange rate between the Euro and Serbian Dinar over different time horizons. We apply APARCH-in-mean to measure the impact and nature of a time-varying risk premium and...

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Veröffentlicht in:	Eastern European economics 2021-05, Vol.59 (3), p.271-294
1. Verfasser:	Božović, Miloš
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic theory Economics exchange-rate fundamentals Foreign exchange rates Inflation Interest rate parity theorem Interest-rate differential Risk Risk premiums time-varying premium
Online-Zugang:	Volltext
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