Interest Rates, Exchange Rate Adjustments and Currency Risks: An Empirical Study, 1967-75
实证检验货币风险对利率和汇率的影响，基于资产组合需求函数，分析风险变化如何影响相对收益率，对国际金融研究者有参考价值。
EXCHANGE RATE AND OTHER CURRENCY RISKS have gained increasing attention recently in international monetary analysis. This paper represents an attempt to test empirically for the impact of currency risks on interest rates and exchange rates. There are different ways in which currency risks could be of importance for exchange rate and interest rate determination. First, risk aversion and different risk characteristics of assets denominated in different currencies provide the foundation for the portfolio formulation of demand functions for different assets (see e.g., L2, 12]). Second, changes in the levels of risks would affect the elasticities of substitution among different assets and therefore the effectiveness of monetary policy. Third, changes in the levels of risks on alternative assets could have a direct impact on relative rates of return. This paper addresses the third issue specifically and the first indirectly, by relying on portfolio demand functions. The second is addressed in Ll3] and Ll4] and is neglected here. Much theoretical work in international macroeconomics relies on models in which the law of one price is assumed to hold in goods markets. Such models allow