Template-Type: ReDIF-Paper 1.0
Title: Nonlinearities and Risk Premia in Daily Dollar-Mark Exchange Rate Movements
Author-Name: Roland Schmidt
Author-Postal: 
Author-Phone: 
Author-Homepage: 
Classification-JEL: 
Keywords: 
Abstract: The paper starts discussing the role of nonlinearities for the arising
 of risk premia in economies with only risk neutral investors. It proceeds
 by tests for Brownian motions, leading to a clear rejection of the 
 hypothesis of independent and normally distributed increments in the dollar-
 mark exchange rate. Finally, it shows that in times of higher exchange rate
 risk the German government has paid a risk premium.
Series: Sonderforschungsbereich 303, University of Bonn, Germany
Length: 42 pages
Creation-Date: 1992-11
Revision-Date: 
Handle: RePEc:bon:bonsfb:226