Real and Monetary Shocks and Risk Premia in Forward Markets for Foreign Exchange
基于Lucas(1982)和Domowitz-Hakkio(1985)模型，分析商品和货币的随机冲击如何决定外汇远期风险溢价，发现风险溢价的符号和大小取决于冲击类型及消费中商品的跨期替代弹性。
A version of the model of Lucas (1982) and Domowitz and Hakkio (1985) is used to compute risk premia on forward foreign exchange from stochastic shocks to goods and money. Risk premium signs and magnitudes vary with shocks and with the intratemporal substitutability of goods in consumption. When the elasticity of substitution is less than (greater than) one, an increase in home good variance induces a decrease (increase) in the risk premium on forward foreign currency. When money is the source of shock, no risk premia appear. A premium can appear unrelated to risk but caused by a 'Jensen's inequality effect.' Copyright 1993 by Ohio State University Press.