Derechos:
Atribución-NoComercial-SinDerivadas 3.0 España
Resumen:
Fama’s (1984) volatility relations show that the risk premium in foreign exchange
markets is more volatile than, and is negatively correlated with the expected rate of
depreciation. This paper studies these relations from the perspective of goods markets
frFama’s (1984) volatility relations show that the risk premium in foreign exchange
markets is more volatile than, and is negatively correlated with the expected rate of
depreciation. This paper studies these relations from the perspective of goods markets
frictions. Using a sticky-price general equilibrium model, we show that near-random
walk behaviors of both exchange rates and consumption, in response to monetary
shocks, can be derived endogenously. Based on this approach, the paper provides
quantitative results that might explain the forward premium anomaly, which is one of
the most important puzzles in international finance.[+][-]