The Effects of Liberalisation on Market and Currency Risk in the European Union
研究欧盟金融市场自由化如何影响市场风险和货币风险的定价，发现风险价格随时间变化且在自由化过程中下降，欧洲货币体系降低了协方差，导致总风险溢价在过去十年下降。
This paper investigates the effects of liberalisation on the pricing of market and currency risk for a number of financial markets in the European Union (EU). An International Asset Pricing Model with a multivariate GARCH‐in‐Mean specification and time‐varying prices of risk is used for the four markets with the largest capitalisation in the EU. Only one price of market risk exists and international investors are rewarded for their exposure to currency risk. The evidence shows that all prices of risk are time‐varying and have been decreasing during the process of liberalisation. There is also evidence that markets react to period of uncertainty in the process toward the completion of liberalisation. In addition, the operation of the European Monetary System has generated lower covariances. As a consequence, total risk premia have declined in the last decade.