Exchange Rate Regimes and the Price of Exchange Rate Risk
Exchange Rate Regimes and the Price of Exchange Rate Risk
By Richard Priestley and Bernt Arne Ødegaard, Norwegian School of Management
Abstract
We investigate the price of exchange rate risk in the stock market
across exchange rate regimes. We find that exchange rate risk is a
priced factor and that the sign of the price of risk is affected
by the exchange rate regime. The results have important
implications for risk management policies.
The final version of paper is printed in Economics Letters and can be accessed ad
doi:10.1016/j.econlet.2003.08.008
A preprint version of the paper is downloadable as a pdf (Adobe acrobat)
file.