期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2008
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：Existing empirical evidence suggests that the Uncovered Interest Rate Parity (UIRP)
condition may not hold due to an exchange risk premium. For a panel data set of eleven
emerging European economies we decompose this exchange risk premium into an
idiosyncratic (country-specific) elements and a common factor using a principal
components approach. We present evidence of a stationary idiosyncratic component and
nonstationary common factor. This result leads to the conclusion of a nonstationary risk
premium for these countries and a violation of the UIRP in the long-run, which is in
contrast to previous studies often documenting a stationary premium in developed
countries. Furthermore, we report that the variation in the premium is largely
attributable to a common factor influenced by economic developments in the United
States.
