TY  - JOUR
AU  - Canova,Fabio
AU  - Ito,Takatoshi
TI  - On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2678
PY  - 1991
Y2  - September 1991
UR  - http://www.nber.org/papers/w2678
L1  - http://www.nber.org/papers/w2678.pdf
N1  - Author contact info:
Fabio Canova
Universitat Pompeu Fabra
Department of Economics
Empresa Ramon Trias Fargas 25-27
08005 Barcelona SPAIN
E-Mail: fabcanova@gmail.com

Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp
AB  - The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.
ER  -