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Macroeconomic sources of foreign exchange risk in new EU members

Publikace

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model.