RT Report
T1 State-Uncertainty preferences and the Risk Premium in the Exchange rate market
A1 Jiménez Martín, Juan Ángel
A1 Novales Cinca, Alfonso Santiago
AB This paper introduces state-uncertainty preferences into the Lucas (1982) economy,showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic risk” and “the risk associated with variation in the private agents’ perception on the level of uncertainty”. State-uncertainty preferences amount to assuming that a given level of consumption will yield a higher level of utility the lower is the level of uncertainty perceived by consumers. Furthermore, empirical evidence from three main European economies in the transition period to the euro provides empirical support for the model.
PB Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
YR 2009
FD 2009
LK https://hdl.handle.net/20.500.14352/49264
UL https://hdl.handle.net/20.500.14352/49264
LA eng
NO Corresponding author. Dpto. de Fundamentos de Análisis Económico II, Universidad Complutense, Somosaguas, 28223, Spain. Tel.: +34 91 394 2594. Fax: +34 91 394 2613
NO Ministerio de Educación, España
NO Fundacion Caja Madrid
DS Docta Complutense
RD 3 abr 2025