IDEAS home Printed from https://ideas.repec.org/a/mes/eaeuec/v59y2021i3p271-294.html
   My bibliography  Save this article

Uncovered Interest-rate Parity and Risk Premium: Evidence from EUR/RSD Exchange Rate

Author

Listed:
  • Miloš Božović

Abstract

This paper examines the uncovered interest-rate parity in a developing economy that implements inflation targeting. We study the exchange rate between the Euro and Serbian Dinar over different time horizons. We apply APARCH-in-mean to measure the impact and nature of a time-varying risk premium and capture the influence of higher-order moments on expected currency returns. We find a significant positive association between the returns and the interest-rate differential over shorter horizons when the risk premium is included. Asymmetries and fat tails are essential in explaining average returns over time horizons of up to one month.

Suggested Citation

  • Miloš Božović, 2021. "Uncovered Interest-rate Parity and Risk Premium: Evidence from EUR/RSD Exchange Rate," Eastern European Economics, Taylor & Francis Journals, vol. 59(3), pages 271-294, May.
    • Handle: RePEc:mes:eaeuec:v:59:y:2021:i:3:p:271-294
    DOI: 10.1080/00128775.2020.1840275
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00128775.2020.1840275
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00128775.2020.1840275?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:eaeuec:v:59:y:2021:i:3:p:271-294. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MEEE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.